It is possible if they have a dairy allergy, to be allergic to soy too. It doesn't always work that way tho. Max had a severe allergy to dairy, but did just fine with soy. If you decide to switch formula - I would try a hypoallergenic one like Nutrimigen or Alimentum. Those have no dairy/soy in them, so they might tolerate them better. Just another option.
Go by your gut tho. Some docs don't take allergies seriously and will just give them meds. While meds may help - switching formulas may do the trick too. But you are the mom and you have to make the decision that is best for you and your kiddos...