If i'm lactose intolerant, should i avoid casein protein shakes?

Maybe...: There's more to milk than just lactose. Intolerance to milk may include problems with milk proteins or even with processing the fat component of milk. If your problem resolves with concomittant use of lactase enzyme when eating the same milk products (that cause gas & diarrhea in the absence of lactase) then lactose intolerance is likely. More elegant lactose intolerance testing is available too.