I think attempting "paleo" and "protein shake" all at once is probably a bad idea.
It's not religion, it's a matter of whether or not you tolerate that particular type or brand of whey (or other protein powder). If it doesn't make you feel weird, break out, or make you paranoid, and it satisfies you, then don't worry about it.
Some people are very sensitive to WPCs and WPIs might be a better choice. Others find more expensive proteins like MPIs or micellar caseins to be the way to go.
If maintaining "paleo" status is important to you, then eat meat. Make up some buffalo jerky.
If you want to add calories, try out coconut milk to mix your shakes in. I find that coconut milk is drastically cheaper at my local oriental groceries than in the regular grocery stores.