Yep, I would get it checked out. Be prepared for the fact that your GP may not necessarily be supportive though. I would look around for a paed who has an interest in allergies AND intolerances, or a naturopath.

My DS's issues were diagnosed by a naturopath who has an interest in this area. There is a blood test that can be run to check out protein intolerances (my DS has cows milk protein, soy and nut intolerances), if you are interested check out the ARL labs website, they have a list of referring practioners for each state (can't remember where you are???).

If it is an allergy, it will be much simpler to seek a diagnosis, but intolerances are actually more common. Good luck, let us know if you want any more info

ETA FWIW, my DS's symptoms really ramped up when I was trying to cut out the formula and add in more cow's milk. He had been having dairy before that, but although in hindsight they were present, the symptoms were not clear at that time. It was drinking a much larger quantity of cow's milk that made things more obvious.