This is an argument that I found only recently in the excellent review by Hellman 2017
Both humans and rodents living under laboratory conditions are generally free from worm infections, which are known to be potent inducers of IgE production. By contrast, most wild animal populations have massive amounts of intestinal worm parasites … To our knowledge, allergies have not been described in wild animals. One potential factor could be a genetic drift due to strong selection for phenotypic characteristics like coat color, long or short noses, running fast, or wanted social behaviors. Such strong selections are seen in the breeding programs for dogs, horses, and cats, but a questionable cause for human allergies. However, it is possible that we constantly need to be selecting against hypersensitivities, which may occur due to minor shift in immune functions caused by spontaneous point mutations. A strong such selection process most likely exists in wild animals under tough environmental conditions but not in domestic animals and in humans.
I agree on the observation – allergy is found only in humans and domesticated animals – while the explanation is implausible as it cannot be generalized to humans. As vitamin D supplements are both used for humans, cats, dogs, horses and lab mice, it is a more likely explanation in particular as we have now have 4 randomized trials in humans confirming the hypothesis.