Milk may be similar to eggs. When eggs are cooked there is a highly
visible change in the protein configuration, making the whites change
from clear liquid to white. This is a visible protein denaturation.
Possibly in the denaturation, the protein changes shape enough to be
not recognized as an allergen anymore. This is similar to people
saying they can eat the allergen in baked goods, but not raw. I've
also heard of people allergic to raw potatoes, but not cooked.