There isn't a direct way to create such a scale in EnSight, so I would create a line annotation where the length corresponds to 1 mm and a text annotation on top to create the legend by hand.
Note that if you click on View -> Bounds visibility, this will turn on the bounds, that are the limits of the model parts. This will show you the dimension of the model. So, you may want to consider using this feature as well, if you're interested in showing the dimension of the model.
Hope this helps,