I took them as a kid around age 7-8 and then again in HS for 2 years and in my 30s, when I developed asthma, new food allergies, hives, and a general chemical sensitivity, which has since gone away.
I know I am allergic to mold, dust, and peanuts. I have always done the environmental things. The shots as a kid didn't do much, but I think the ones I took as an adult helped get me out of a very terrible cycle I was in. But, I stopped because I always had a weird reaction afterwards. Not quite an asthma attack, but feeling weird. I think it may have been the preservative used. But, my older son was deathly ill with chronic bronchial stuff and he was allergic to Bermuda grass, which in AZ is everywhere. He also had something (a deficiency, I can't remember) with IgA, one of the histamines in the body. It really helped him. He took them for about 2 years. Of course when we moved, both he and I became 100% healthier. The dust in the desert was not good for either of us. I put away my nebulizer for good.
I like allergists better than pulmonary docs. I had been going to one for about a year when the asthma stuff started in the 80s and all he did was give me prednisone. The allergists I saw understood the issues better.
I think you could keep going, using meds, but you have had a lot of stuff, some of which might be helped by the shots.