That's the general problem with buying pre-milled grain. Order any grain (or kit) from MoreBeer or Northern Brewer and the crush is total crap!I'd say owning a mill is justifiable if you don't have a decent shop nearby to buy ingredients per batch, or if the only one in town refuses to mill properly.
One of my 2 Local HBS' has been milling way too coarsely for the past 13 years I've been shopping there, and won't change it, and I know everyone there personally. A nice couple new to brewing had brewed a wheat beer that was milled on the store's mill. Any wheat flavor/character was nowhere to be found. The beer was thin, weak, bodiless. When we looked at the crush for their repeat effort, most of the wheat malt was still whole. Nuff' sed!
The other LHBS mills for you... and is not much better, especially when brewing BIAB, which I'd say over 3/4 of their customers do.
I buy base malt by the sack, and love milling my own for having total control. Small kernel grain gets milled separately on its own, tighter gap.
So yeah, the mill gets reset (at least) once each milling (brew) session. It stays on that gap for the next brew, where it mills the grain appropriate for that gap, then reset for the other.