Cathy,

It is most likely that they disbanded after hearing of Lee's surrender. If they did go to Richmond as other batteries did, but I can find no record of Nelson's Battalion doing so, then they would have been part of Walker's artillery column which was captured or dispersed at Appomattox Station on the 8th. Regardless of their location, it appears that on the 9th, Milledge's Battery was no longer a viable organization, which was a common situation with Confederate units in the last days.

Len