I am just wondering if there are any risks to children drinking from their bottle of milk while laying down on a mattress being supervised and not falling asleep?

The issue of baby having a bottle in baby’s sleep environment is not a part of the Red Nose Safe Sleep guidelines.
Red Nose does however have concerns about a young baby having a bottled propped for feeding using a pillow.
It is recommended that babies not have a pillow while they are in a cot or till at least 2 years of age.
https://rednose.org.au/article/at-what-age-can-i-introduce-cot-bumpers-and-pillows

There have been consistent safety concerns expressed by health organizations in relation to a baby/toddler having a bottle in their sleep environment.
Have a look at the information from Raising Children Network or your local Health Department Policy.
https://raisingchildren.net.au/newborns/breastfeeding-bottle-feeding/bottle-feeding/giving-the-bottle
https://raisingchildren.net.au/newborns/breastfeeding-bottle-feeding/bottle-feeding/giving-the-bottle#bottle-feeding-in-bed-issues-and-risks-nav-title