Bear in mind that treatment of allergies has changed somewhat over the last decade. What once might have been considered risky is likely common-place now.

I think that if your doctor is aware of the above history but is still recommending the shots, it's probably safe, and if you're seeing an allergist they probably have albuterol on hand just in case, and definitely will have epinephrene in case of potential bad reactions (your GP may have both as well, certainly the latter). So if you're concerned about a bad reaction I suspect it can be treated in-office just fine.

But ultimately it's whatever you feel comfortable with. I'm just thinking that if the usual available meds are not always doing you as much good as you'd like, and you're taking them daily, the shot is definitely worth considering.