I have a lot of experience so far with Mill decks and Phenax isn't a good Wincon. The walls can be easily removed and until turn 5-God, they will be doing nothing. Modern UB Mill is a expensive deck for such a little competitiveness, but if you're still interested in building it, I suggest you to maintain the core of Fetchlands,
Hedron Crab,
Mind Funeral and Glimpse, and add
Jace's Phantasm as an alternative Wincon, as 2 of them with a mill spell can kill very fast if left unanswered, and adding 2-3
Ensnaring Bridge for slowing or shutting down completely the aggro strategies, who are your worst matchup, due to the biggest problem of mill decks is that damage is always faster than discarding.
Hope this helps you, from a mill lover to another.
PS:
Manic Scribe is another cheap and useful creature in the deck.