Just to add, most people who are lactose intolerant can actually tolerate lactose-containing foods when eaten with a meal. So you could have your protein whey powder mixed with water perhaps, and then the simple carb post-workout you have with it may actually alieviate your lactose intolerance.
Plus if you don't avoid lactose all together, you may actually be able to build somewhat of a tolerance back up. Everyone's different, however, so this is an entirely individual thing.
The lactose digestion aid is also helpful. Otherwise you'll have to look for a different protein powder source than whey, like soy protein. Even though it won't be as readily absorbed as the whey.
But to answer your original question, protein powder isn't a drug. There are no side-effects "going off" of it. Getting "saggy muscles" indicates muscle attrition, or fat accumulataion as was already mentioned, so as long as you're performing enough strength training for maintenece and eating enough protein (from food sources) to meet your body's needs, without over-consuming and gaining fat, losing muscle (or "gaining saggyness") shouldn't be an issue.
