There are two types of Whey protein, concentrate and isolate.

Whey protein isolate is a more "pure" form or whey protein that does not contain lactose. Whey concentrate is cheaper, but does contain some lactose.

The site mentions that the formula is lactose free, so I imagine they are using Whey Isolate.

Lactose intolerance is not an allergy to lactose. Most people are actually lactose-intolerant -- in most of history people around the world simply had no need to drink milk after the toddler stage, and those who are truly lactose-tolerant tend to be of Nordic/Scandinavian ancestry, IIRC. Those who are labelled lactose-intolerant (though that itself is a spectrum) can handle a pint of milk a day.