Whey protein allergy?

Hey guys ive been taking ON Whey protein right now for a while, and I think im a little bit allergic to it, i get a little bit tightness soreness in the throat which doesnt bug me much. My question is after a while don't u build immunity to ur allergies if you keep taking what you are allergic to? And also if im allergic to something such as whey protein do i still absorb all the protien from the shake. Also if none of the above are true what would be a good alternative to ON Whey protein, thanks.