The truth is: Nobody really knows what the best course of action is. Some experts don't think your diet during pregnancy has any effect on food sensitivities (or lack thereof) in your baby. Some say you should steer clear of allergens that run in your family. And others say you should simply play it safe by trying not to overindulge in any one type of food.
There's probably no reason to cut out cow's-milk products entirely during your future pregnancies — some doctors even suggest that exposing a fetus to small amounts of an allergen might help keep her from becoming sensitive to it. So go ahead and have a bowl of ice cream now and then. Just don't overdo it.