My baby LOVES cheese! That is one of her favorite treats. It used to be the only way I could get her to take her medicine (by hiding it in a small piece of cheese) I have not found any health problems with it, although I do not give it to her very often, only for a special treat. But personally I have not experienced any issues, but I would suggest only giving it to your baby in moderation of course!
Hope that was of some help!