Of course. I sometimes mix baking soda powder with cream of tartar powder to make baking powder, which of course is mixed with flour powder and sometimes powdered milk.
Other powders may startlingly combine, causing heat and other changes.
Do what the recipe says. If it says add powdered milk - add the powder. if it says reconstitute before adding, mix it in water. Often the recipe asks for powder milk and some kind of liquid, which...