1. Younger people tend to have more liberal views. This is not a permanent state of being. Asking a 20 year old who has never held a job about capitalism is not a good use of anyone's time. Asking him ten years later whether he thinks he pays too much in taxes will be far more meaningful. Polls of younger people tend to produce scary results. This isn't a new phenomenon.
2. Using "millennial" as a political punching bag is a bad idea. We're talking about people who were born over a 20 year period. Plenty of them hold jobs and are... conservatives. I say this as a Generation X'r (the generation that was being used as a political punching bag before the dreaded millennial came along) who with some years difference could be on the millennial side of the line. They are people that conservatives should be reaching out to. I know the temptation of the easy "millennials" line followed by an eye-roll. I've done it myself. But it's also lazy and unhelpful. Go back far enough and there were people rolling their eyes at your generation and assuming that they'll amount to nothing.
3. The average millennial is not screaming about safe spaces on campus. Just as the average baby boomer wasn't taunting Vietnam vets on campus. College left-wing activists, of whatever generation, tend to be narcissistic sociopaths with less impulse control and sense of right and wrong than a lobotomized wolverine on crack. They don't represent a generation. That's what the left wants you to think.
4. Each generation has been worked over by an increasingly politicized public education system which also increasingly punishes any form of dissent. Millennials are the products of the worst educational system this country has ever seen. Until their successors come of age. This is a huge problem and the way to tackle it is not with cliches about a narcissistic generation. The youth of every generation tend to be narcissistic. Because they're young. Conservatives have to connect with the concerns of a younger generation rather than alienating them by dismissing them out of hand.