Russell states the issue:
In every history of philosophy for students, the first thing mentioned is that philosophy began with Thales, who said that everything is made of water. This is discouraging to the beginner, who is struggling—perhaps not very hard—to feel that respect for philosophy which the curriculum seems to expect. (Russell1945, p. 24)
This remains true, 75 years later. This is understandable: we want to begin at the beginning, and the Milesian school is the best beginning we're likely to find–Aristotle, writing the Metaphysics two centuries later, himself describes Thales as the progenitor of the study of metaphysics (HopeAristotle1960, 983b20).
Aristotle's writing reveals the problem with starting with Thales, too: what Aristotle can tell us is only what he has heard, and he must speculate about Thales's reasoning. As to the ultimate import of Thales's ideas, Aristotle is silent, so we, too, are left to speculate.
Copleston argues that the pre-Socratics, though interested in metaphysics rather than ethics, still addressed many issues that would be taken up by succeeding philosophers, and we must understand Plato and his successors as responding to those who came before:
From what has been said, it should be clear that Pre-Socratic philosophy is not simply a pre-philosophic stage which can be discounted in a study of Greek thought–so that we should be justified in starting immediately with Socrates and Plato. (Copleston1946, 79)