I don't think there is any dairy in it. They call it a shake not a milkshake for a reason.
Ingredients for a McDonalds Shake (vanilla example)
Ingredients (Allergen statement in ALL CAPS.)Back To Top
Vanilla Reduced Fat Ice Cream: Milk, sugar, cream, nonfat milk solids, corn syrup solids, mono- and diglycerides, guar gum, dextrose, sodium citrate, artificial vanilla flavor, sodium phosphate, carrageenan, disodium phosphate, cellulose gum, vitamin A palmitate.
CONTAINS: MILK.
Triple Thick Vanilla Shake Syrup: Corn syrup, water, vanilla extract, caramel color, citric acid, pectin, sodium benzoate (preservative), yellow 5, yellow 6.
May contain small amounts of other shake flavors served at the restaurant, including egg ingredients when Egg Nog Shakes are available.