I've had allergy shots 3 times in my life and 3 times I quit. In high school, I would get a mild asthma attack and generally feel awful afterwards. I tried again in my thirties when all of a sudden I developed food intolerances and asthma. Same thing. Eventually, when I calmed down a bit and moved from AZ (can you say dust and mold spores?) to MA I became much healthier.
The shots did help my son when he was small. He had awful allergies in AZ. The poor kid would start sneezing and wheezing from the Bermuda grass on the pre school playground and at home. And, we had his tonsils taken out, which although it's not a common thing to do today, totally cured him of the allergies, ear infections, bronchitis. He's really a healthy adult.
But, I agree, if you treat the allergies, the asthma often goes away.