Does everyone respond to allergy shots?

Most do. There have been many studies on 'allergy shots'; however the vast diversity of allergy triggers might not be covered. Generally, about 80% of patients get significant reduction of symptoms. Molds are most difficult and pollens most effective in some of those studies. Important issues are accurate diagnosis of the specific allergies and careful assessment of environment, season and the patient.
Not everyone. Allergy shots, in the right patient, are extremely effective in treating allergic rhinitis. However, you need to be tested and treated by a board certified allergist.