There are few areas you should be concerned about when supplementing with whey protein.

Sweetener

Although whey protein is natural, many protein shakes come mixed with sweetener. Aspartame was a more common sweetener until many studies revealed that it could have some nasty long term damages on the body. After that, aspartame was removed from a lot of foods and now supplement companies advertise that they are aspartame free, and only contain sucralose.
Sucralose is becoming very popular in whey protein but surely there's a risk that future studies could show that this sweetener is bad for the body. Current research has already discovered that sucralose causes the kidneys and liver to swell. Just knowing that my liver and kidneys could be swollen is enough to deter me from ever buying a sucralose shake or any other sweetener based protein shake again.
There is a simple away around the problem though, and that is to purchase unflavoured whey protein powder. You can then mix this with a standard milkshake powder, but make sure this doesn't contain sweetener either.
You can even buy naturally sweetened protein shake such as Optimum nutrition 100% natural whey gold or optimum nutrition natural oats and whey. These taste great and contain no sweetener whatsoever.

High protein diets

Another area to consider is that high protein diets may not be that good for the human body in the long run. However, even if whey protein is easier on the digestive system than meat, you should not only rely on whey protein. It is best to diversify your sources of protein which will help keep the body under less stress.
Being on a high protein diet means that you should also make sure that you are well hydrated each day. To break down protein the body requires water, so it is best to keep drinking water throughout the day. 8 250ml glasses a day should be the minimum amount of water you drink, but if you are exercising you may need more water than this.

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