New GM foods are tested exhaustively for possible allergic reactions.
There is already an example of the effectiveness of this testing: an experimental GM soya variety contained a gene from Brazil nuts which made the soya potentially allergenic. This problem was identified, and the development of the soya stopped, long before it got anywhere near the marketplace. In the future GM may be used to produce non-allergenic nuts. And there's already research underway to produce non-allergenic rice.
D.S. Shin et al. (1998). Biochemical and Structural Analysis of the IgE Binding Sites on Ara h1, an Abundant and Highly Allergenic Peanut Protein. Journal of Biological Chemistry, 273, 13753-13759 (http://www.jbc.org/cgi/content/full/273/22/13753)
R. Nakamura and T. Matsuda. (1996) Rice allergenic proteins and molecular-genetic approach for hypoallergenic rice. Bioscience, Biotechnology and Biochemistry, 60, 1215-1221