I used to have a Fluke non contact voltage detector. It was the old style, just a red light at the tip. You were never really sure it was working, and if you tapped it on anything, just the bump would get the light to blink.
The good thing, was that batteries in it lasted literally for years, and you didn't even have to turn it on or off (there wasn't even a switch). The bad thing was that eventually the batteries exploded and ruined it (I guess because they were years old).
I now have a Klein from HD. $17ish. Looks like it's made by the same people as the Milwaukee in the OP. Green light to say it's on, red light when it detects voltage. Different sounds for turned on, off, and volt detect. MUCH more confident in it because of this, but it is still no substitute for a DMM. Auto off. Batteries last only a couple of months, EVEN when it's left off the whole time, so it seems that most times when I need it, the batteries are dead.
I strongly suggest that you do NOT get an HF DMM. They're an accident waiting to happen.
Let me explain:
First, read:
http://support.fluke.com/find-sales/download/asset/1263690_6116_eng_h_w.pdf
or if you'd prefer something more independent (i.e. not from Fluke), then read:
http://www.csao.org/UploadFiles/ResearchDocument/Multimeters.pdf
Now, first, understand that HF meters are only rated by HF as category II, and are not independently tested (by UL, CSA, etc.).
The Fluke and Extech DMMs I use are all at least category III, and this rating affects the overall safety of the meter when used for it's safest purpose, reading voltage.
Here's another thing to consider. Unless you're using a clamp meter, the meter will have current reading plugs. Those connect through a shunt, and if you were to accidentally plug your wires into the current plugs and contact a voltage source, you can end up with a blown up meter (regardless of what the dial is set to).
My Fluke and Extech meters (not pushing any brand, that's just what I've got) have fuses on the shunt. The HF meters are unfused.
Interestingly enough, my Extech DMM will sound a beeping alarm if you plug a test lead into the current slot when it is set to read anything other than current, or if you set it to current without a lead in the slot (it can detect the presence of the connector). That a nice safety feature.
As a note, Extech is a FLIR company, and makes some of the Craftsman DMM's too.
My favorite DMM was my Craftsman with the built in IR temperature probe, that was $90 on sale (and was also true RMS). Unfortunately they don't sell that one any more.