It's not proven, but there a logic to it. Any impurities tend to be retained in fat, and the milk producing glands are very fatty. Milk and milk products are very fatty. They have been able to measure pesticides and drugs in non-organic milk, though levels tend to be low.
Personally, as a breast cancer survivor, I only use organic dairy products. I'm not a milk drinker, but I do enjoy a bit of cheese now and then.
BTW, the risk factors that can be improved, are things like maintaining a healthy weight and reducing alcohol consumption. Other risk factors, such as age, age of first menstruation, childbearing, etc. are less in our control.