I think you're mistaken. These are kids, who have for the most part either been their parents' dependents, the government's dependents, or who have borrowed funds that have not come due. They haven't really lived under capitalism yet, and they are attracted to having the no-risk ride continue. It sounds good to them.
And the parents and grandparents of Millennials also came up with wonderful capitalistic (sarcasm) programs such as Social Security, Medicare, Medicaid, Earned Income Tax Credit, Unemployment Insurance, Food Stamps, Housing Assistance, Corporate Bailouts, etc.. One can argue that America has been a de-facto socialist country since 1933. Instead of laughing at feeling the Bern, we should fear the Bern as his election and implementation of his programs are not so far fetched.