A number appears inside a div called wpb_wrapper, when I use a custom shortcode

by

You can’t return an include like that. A successful include() itself returns 1, and since you’re returning the return value of include, your shortcode is displaying “1”.

Handling Returns: include returns FALSE on failure and raises a
warning. Successful includes, unless overridden by the included file,
return 1.

— http://php.net/manual/en/function.include.php

If you want to output a template or similar file from shortcode, you need to capture it with output buffering:

function millennium_grid() {
    ob_start();

    include 'mg-custom-grid.php';

    return ob_get_clean();
}
add_shortcode( 'millennium', 'millennium_grid' );