75% of adults worldwide are lactose intolerant, but it's strongly bound to ethnicity and North European backgrounds are outliers on the low side. Lactose intolerance rates for adult Americans of European ancestry are between 8% and 15% depending on what numbers you trust (self-reporting appears to give lower prevalence than other approaches), with the rates for Americans generally being about twice that.

I don't know anything about the allergy, but I am lactose intolerant and my symptoms do not include headaches. Nor have I ever heard of that showing up for others with the problem.