That is completely normal. Your Milotic is fine.
Hidden Power's type is determined by IVs (read about IVs here). Hidden Power's type can be any type but Normal, so a Bug type is legal.
No Pokemon is more likely to have a certain Hidden Power type than another; Hidden Power Grass or Electric is just as common as Hidden Power Bug.
Milotic's Hidden Power type will not change if you migrate it to Unova, since IVs don't change when you migrate Pokemon.