Re: allergy shot question..
Are you basing the fact that you didn't have much of a reaction on the fact that they didn't itch, or on the allergist's evaluation of your reaction?
The fact that they didn't itch very much isn't a good measure of how strong your reaction was (and even the doctor's analysis of the reaction is somewhat subjective, there's a lot of art to allergy testing).
As far as the shots go, they couldn't hurt (and they could help a lot), so you might as well give it a try.
Sorry to hear about your dog.