Montey, if you bought one you would learn the basics. But as you learn you'll read about others doing things that make sense and when you try to do them on your combo machine you quickly find out that the features needed are not there. Those machines simply do not have the right features to do serious machining.
They are also not all that great for milling. The table size is VERY limited so you lack the room for any sort of larger work holding devices. The requirements for supporting the carriage of a lathe and the table of a mill are wildly different and the section used on many combo machines is just not proper for either. So there again you end up not being able to work to higher accuracy levels and when used in a milling mode you end up with lots of play and chatter. On top of all that most of the smaller ones I've seen use graduated dials that are small with divisions that would make working to a resolutions of a thou a bit of an optimistic dream. And never mind working to half thou amounts such as can be done relatively easily on a proper lathe.
If you were only ever going to make smaller items or perhaps build some small model steam engines and the like you might find that these combo machines can do the job. But from the compromises made on them I can say for sure that it would be a frustrating job trying to work to the required tolerances in a proper way. And in many cases where it comes to milling of parts you would need to whittle the metal away in smaller cuts due to the lack of proper table support area through the lathe bed. There's more to how these machines function than just the ability to move a little table back and forth.
If you want to do proper machining and work to things like controlled cuts that result in your pieces being willfully shaped to half thou dimensional measurements on purpose instead of by accident I'd go with Trev's post and say RUN away. In all my years I've only ever seen one combo machine that combinded the proper features of a lathe and an OK sort of mill into one machine. And it was something north of $10K as I recall. It didn't stick around long as a nice lathe and a nice table top mill of similar capability added up to less than the cost of that machine at the time.
If you want to dip your toe in the water without a major cost commitment I'd say watch around and buy a used mini lathe and start out with it. Just be SURE that you find and buy one of the 14" models. The 10 and 12 inch long C-C versions are way too limiting for work room. Get a 14" or even one of the rare 16" models if you are that lucky. Or you may trip over an older but lightly used old iron hobby lathe while browsing the used ads. Depending on what it is and the condition you might find a gem that way as well. I'd tend to avoid the Craftsman/Atlas lathes though. Too many pot metal castings for some major parts that wore out too easily and ruin the alignment.
Use the mini lathe to make a few gun parts and some tooling accessories of the sort which can be produced in the lathe. Maybe even fit it with a tooled up angle plate that holds a little mini tool maker's vise to allow you to do small milling jobs in the mini lathe. It's not hard to do something like that and can help with making things like keyway slots or flats on round parts. If all you ever need is the ability to make small replacement parts then you might well find that a mini lathe and mini mill will serve your needs just fine. For the odd time you find you need to do barrel work just go to a gunsmith like most folks. If you're happy enough with the mini lathe THEN match it up with a suitable size table top mill and call it a day.
If the mini lathe proves to just be a tease to whet your appetite for "a proper lathe" then reconsider how much space, time and funds you can commit to pair of larger machines. I would say that something like the
Busy Bee CX701 is the smallest "proper" lathe I've seen out there. It's got the size to hold some serious work items. Even a 1.5" through bore in the head stock which would fit all but the craziest rifle barrels. I don't know how well the other internal features are done and that may put me off. But at first glance it looks very tempting. Most would consider that a "proper" gun smith size lathe that can do any and all jobs starts with the 12x36 size and goes up from there. From my years of working with my own 12x36 and from having worked on a few smaller lathes here and there I would not say that they are wrong either. But if you are willing to forego the more serious stuff like barrel work then smaller lathes can do a lot of nice work on smaller parts or small jobs on bigger parts that can be made to fit.
One thing about machine tools for metal working. Mass and size gives rigidity that provides accuracy. That's just how it works. All metal items are springs. And to work best and give the best accuracy you want the stiffest spring for better control. Another thing with mills is the surface area of the dovetails in the table assembly. A milling machine not only relies on mass and rigidity in the column and head but also on large as practical surface area in the dovetail ways to support the table not only accurately in place but also to conduct the forces through the oil film and into the base in the most controlled manner it can. And to do that requires SIZE and lots of metal. And getting back to the combo machines this is a key place where they just fall flat on their noses.