What am I missing

The cosrx aha/bha toner might be drying out your skin and making it peel, since you wrote that you're using it nightly. You could try using it only 2-3 times a week and see if that changes anything.

Your decision to include retinoid is right especially when you have milia prone skin. If the milia is around your eyes, gentle retinol should be the answer. Once you find the right retinoid for your skin it would also eliminate your blackheads problem. As to dry skin, I would layer lighweight moisturizer then thicker one, it’s been so helpful during fall and winter months. Adding an antioxidant is a lifesaver.

I would also suggest not using your toner quite as often no more than 2-3 times a week. Although the clarifying toner is milder that the cosrx blackhead liquid it could still dry your face due to over exfoliation. For skin texture retinol is beneficial as well as niacinamide serums. A visit to en esterhician or a dermatologist for removal of milia and blackheads now and again is also great.

Do you use Cosrx AHA/BHA daily?

as others have said, it might be time to try experimenting with active ingredients. I think you're on the right track starting with a retinol product. with retinol, your skin may get "worse" before it gets better due to purging, which can look like breakouts or flaky, peeling skin (this is not dry skin, it's layers of extra dead skin being removed) As @skinholygrail mentioned, you don't need to use an exfoliant every day. are you also doing any sort of physical exfoliation? I switched away from terry towel washcloths to microfiber because they were just too rough on my skin. Make-up Removing Cloths 4 Count, Pastel, Erase Your Face By Danielle Enterprises https://a.co/d/cb69aTx