United roared into a three-goal lead, but were forced to hang on nervously after the Lions mounted a stirring comeback to reduce the arrears to 3-2.
"We want to entertain and I thought our attacking football was excellent," Adkins said.
"We got 3-0 up and it could have been even more if we had taken our chances.
"But credit to Millwall, they are a good team, they got themselves back in the game with one and then they scored another.
"They showed great character, but we showed superb character because we saw the game out and could have scored a few more."