There seems to be some conflicting research on this topic. There is at least one study that links avoiding milk to a reduction in the risk of developing insulin resistance and metabolic syndrome.
On the other hand, there have been some studies showing that the conjugated linoleic acid (CLA) in dairy from grassfed cows can help promote fat loss:
Also, researchers at Penn State used CLA to treat diabetes in mice:
The obvious caveat here being that mice are not humans, but early human trials seem to be pointing in the same direction.
From a purely evolutionary perspective, dairy products don't technically qualify as "Paleo." Having said that, I personally consume reasonable amounts of raw dairy (particularly cheese) without any weight gain or digestive issues.
Edit: Clarification--the CLA used in the AJCN study mentioned above was a supplement. From my perspective, obtaining CLA from grassfed dairy and meat is a better solution...