N.S.
Milk can all be introduced together. But if he had a sensitivity from cow's milk (probably from formula?) since a baby, he could very well still have it. So you can give yogurt, cheese, milk all together since it's still all milk.
Just keep a close eye on him. Rashes, bowel movement changes, behavioral changes, etc. Both our kids cannot have the milk protein, casein. My daughter's reaction is behavioral.
Some don't "believe in it," but it's true to the point where she had to be sedated for a minor operation and she had a very severe reaction. Turns out, the sedative had casein in it. Who knew? So just watch closely. Most kids do grow out of the sensitivity, but he's still young.
Keep a milk "journal." Just write down what kind of milk product he ate and any reaction. Our kids have a reaction within 3 hours, so it could be a long time from when he eats.
Good luck. I hope he grew out of it, but if not, it's not that bad not having cheese and stuff in the house. :)