They were not on the verge of getting to the finals. The Jazz got a lucky second round matchup in 2007, and then LA and Boston built superteams in the offseason. Timing ****ed the Jazz as much as conservative management.
Millsap probably didn't have the value to return a key piece until Boozer was injured in 2008-09. However, at that point Millsap already looked like the higher impact player. Trading Boozer in the summer of 2009 was the right move.
The Jazz could have gone either way with Millsap in 2013--if I recall correctly, I had a weak preference for keeping Millsap. In retrospect, he would have been a good fit next to Favors at the 5. 6 years later, at 34 Millsap is still leagues better than Exum.