"a large portion of them get most if not all of their entertainment via the internet and it's not via bundle. "
Yes it is. Netflix and Hulu are still bundles, they're just different kinds of bundles. Even HBO is a bundle of sorts. Of course, most millenials don't actually pay for that. Millenials are certainly not, as a class, consuming TV programming by paying for each show individually by downloading it on iTunes. To the extent they're doing that, they're probably pirating it.
What is greatly different about these sorts of bundles is that they're dramatically cheaper than the traditional cable bundle, have almost no bullshit fees like cable bundles, don't lock you into long term contracts, and are natively accessible on many different devices. That is, they remove most of what people hated about cable companies, while keeping the ease of one account to access most of what you watch.
I agree that eventually there's going to be an ala carte market for things like sporting events, but I don't think it's going to be the predominant method for most folks.