1) Consistency - Millennial workers are looking for feedback ALL the time. It can be argued that even negative feedback is better than no feedback. Long gone are the days where managers can delegate tasks to their employees then expect them to complete it independently. Millennials are used to their parents asking, prodding, even invading their "personal space." By no means am I saying to pester them, but if you don't monitor them by giving them feedback about their progress - don't expect much in return.
2) Relationship - Millennial Workers are loyal to their leaders, not companies. If you as a manager are not communicating with them, they will seek other options available. This does not mean become their best friend or therapist, but show them you have a genuine interest in their success. Think about how much you would be willing to sacrifice for a good friend. That same concept works for the Millennial Worker towards his/her manager.
3) Empower - The bottom line is measured by output. If you as a manager are constantly communicating your standards and building a work-relationship with your employees, performance will take care of itself. Millennials want to be led. They are looking for leaders who care about their growth. There is a sense of urgency, pride and motivation when you are working for someone you respect and want to emulate in the future.
Don't think of feedback as what you have to put into it, but what you can get out of it. When you let someone know what you think of their work, they have a chance to improve on current expectations. Give your employees the best chance to succeed. Speak up! Feedback is the catalyst for superior performance!