There are a number of reports, regarding celiac patients, of coexisting
intolerance to milk proteins. A recent report sought cross reacting antibodies. 
Although they found no cross-reactions, a number of these patients displayed 
antibodies against gliadin and parallel anti-casein antibodies(1).
Another group has indicated that 36% to 48% of celiac patients
demonstrate antibody reactions to milk proteins (2), although there are
some reports that the frequency of such sensitivities reduce with treatment
of a gluten-free diet (3), although the latter publication reported a
higher initial frequency of reactions to milk proteins.
There is another report of one celiac patient thought to have refractory
sprue who recovered with the additional dietary exclusion of egg, chicken,
and tuna (4). The patient became *very* ill before the possibility of
immune reactions to other dietary proteins was considered.
These reports suggest to me that we need to be vigilant about the
possibility of additional food sensitivities. Before leaping to the use of
steroids, further antibody testing seems prudent. The therapeutic use of
systemic steroids carries the potential for some very dangerous side
effects. Dietary exclusion of allergenic proteins, on the other hand, is
just an inconvenience .... one that most of us are already well versed in.
ELISA or similar testing ought to be done *prior* to beginning steroids, as
such drugs may be unnecessary, or they may compromise the accuracy of such
testing.
Sources:
1. Paranos S, et al. Lack of cross-reactivity between casein and gliadin in
sera from coeliac disease patients. Int Arch Allergy Immunol. 1998 Oct;117(2):152-4.
2. Volta U, et al.     Antibodies to dietary antigens in coeliac disease.
Scand J Gastroenterol. 1986 Oct;21(8):935-40.
3.Scott H, et al.  Immune response patterns in coeliac disease. Serum
antibodies to dietary antigens measured by an enzyme linked immunosorbent
assay (ELISA). Clin Exp Immunol. 1984 Jul;57(1):25-32.
4. Baker AL, et al.  Refractory sprue: recovery after removal of nongluten
dietary proteins. Ann Intern Med. 1978 Oct;89(4):505-8.