You definitely do react to allergy shots. The first shots gave me giant welts on the underside of my arm. But you take antihistamine with it, and the reaction doesn’t turn into an over-reaction. It’s a very specific dosing regimen (injected into a specific spot) to ensure that the immune system can see it, but not overreact. That’s the level at which the immune system starts to slowly see it as normal and non-threatening.