There are no recorded side effects of whey proteins as such if taken as per required dosages.
1. There could be allergic reactions in people suffering from lactose
intolerance.
2. Overuse can cause liver damage.
Training athletes often consume 25 grams of whey proteins per day. Body builders consume up to 150 grams per day. Extremely high doses are not recommended as this can cause the body's liver to be overloaded and you will not get the same benefits as with consistent lower amount taken 3-5 times per day. Though protein products may not be harmful by themselves, but, if not accompanied by regular exercises, they may lead to unwanted weight gain. Supplements do not build muscles, exercises DO.
Creatine promotes water retention in muscles. To utilize the effects of creatine avoid caffeine. Caffeine offsets the absorption and effects of creatine.