Mildmay says more than once that he's fond of the curtain mazes at the Trials, back in Melusine, and at one point talks about one of the first time he did them, when he was a child--and didn't get lost, to the amazement of the older children, who had been trying to lose him that way.
Apparently he got all of the sense of direction in the family, as Felix is noted, both by himself and Mildmay, to have none whatsoever.