There are 2 types of reactions that occur with allergy injections. The first is an immediate reaction and can be on the skin, swelling of the respiratory tract, eyes itching, swelling etc. The second type of reaction usually starts hours after the injection and can be similar to the above or somewhat different. It appears you have now experienced both.
People have experienced allergic reactions to injections on their very first injection with very dilute material. It is not common, but does occur. It has happened to you. Obviously, you respond to steroids. It may be that you will do very well with inhaled nasal steroids throughout the pollen seasons. As to stopping the injections, this is a decision between you and your doctor. You have to decide is the risk of having these uncomfortable reactions greater than the discomfort you experience during the seasons. At the current state, if you are experiencing reactions with these injections, it is going to take you a very long time to get to a point where the injections provide you the relief you are seeking.
Not an easy decision.