As both casein and whey are proteins from milk, there is a chance that whey protein isolate could include trace levels of casein, though it's unlikely.
Yes, whey protein powder is naturally gluten-free and suitable for consumption by those with celiacs, unless it includes gluten in an additive ingredient.
Side effects from whey protein powder are rarely experienced if used correctly.
Raw whey protein powder has a slightly chalky taste with a hint of cheese and milk.
If you suffer from headaches after consuming whey protein powder it is more likely due to improper use.