Do you tolerate cow's milk with lactose well? If you do you should be okay with whey. Now here's the catch, if you are lactose intolerant you may also be sensitive to whey and/or casein, the major proteins in dairy. I find that the majority of women with PMS/PMDD (here in the US), who are lactose intolerant, may also be sensitive to whey protein. Whey is also the by-product of cheese and yogurts, and with the increased popularity and consumption of Greek yogurts here in the US, we have created a very large surplus of whey protein.
Whey protein is very high in acid and becomes a very hard protein to discard, so what do food manufactures of yogurt do with all that excess whey protein? They create other markets for it, such as adding it to other products like protein bars and supplements. The fitness industry is a major target market.
Note: Women are not little men, we do not have the same protein needs to build muscle. You may only need just a very small increase in protein intake to see results, besides research shows we are only able to metabolize 30 grams of protein on average per meal, the rest goes to fat storage and interferes with neurotransmitter production. Protein, like whey protein and red meat are very good sources of branch chain amino acids, that compete with Tryptophan conversion to serotonin. Exercise does seem to help, but if you are eating too much animal protein or taking too much whey supplementation, you may not be able to work-out enough to clear it from the blood stream, hence, the reason why women do not need as much protein and the excess may act as a depressant.
Women with PMS/PMDD do not need additional or extra dairy protein, especially if sensitive to dairy. The only way to understand if you are sensitive to dairy protein, is to either eliminate it and do a challenge at a later date, or to test for it. I do not offer testing in the Netherlands, so you would have to inquire with a health practitioner there who might be able to help you.
If you have a gluten intolerance, it's very possible to also have a immune response to casein, the other major protein in dairy. This becomes more about protein cross-linking issues along with leaky gut, or permeable gut. This becomes a problem more so in the luteal phase.
I hope this helps you with a bit of understanding. Here's another tidbit of genetic information, if you are 100% Dutch, both parents of Dutch descendent, the odds of you being able to tolerate dairy increases with the known genetic lactase mutation. If you are not of Dutch or Norwegian decent, like the rest of the world, it's more likely that you will lose the ability to produce the lactase enzyme at a very early age.