Removing lactose from milk by the addition of lactase enzyme does not alter the amount of protein and calcium. Lactose-free dairy foods have the same number of calories, protein, fat and carbohydrate content compared to their lactose-containing counterparts.
There is a misconception that lactose-free dairy is higher in sugar compared to conventional dairy because many people have noted that lactose-free milk has a sweeter taste. However, this relative sweetness results from how our taste receptors experience the sweetness of various types of sugar, not from an actual difference in the amount of naturally-occurring sugar present.
Specifically, intact lactose is perceived as less sweet than its free component sugars, glucose and galactose, after they've been broken apart. Nonetheless, the total amount of naturally occurring sugar is exactly the same whether it exists as intact lactose or enzymatically broken-down lactose.