For a couple of reasons. First off, anecdote. I myself am severely lactose intolerant, which I inherited genetically. I have lived in Italy and know Italians pretty well, and in my experience lactose intolerance is so unusual in Italy that people are often amazed to hear of my condition. Lactase (Lactaid etc.) is quite rare in the country, so much so that I usually bring in large quantities when I fly there. Granted, my experience is largely in the north, but I have also lived for quite some time in Rome.
Italians eat a fair bit of high-lactose foods (cream; cappucino, young and soft cheeses, mmmm, squaquerone; certain pasta dishes; and of course gelato) and I have never seen a complaint, while I myself have to be careful around all of them.
But second, as far as I understand it, the claim that Italians are lactose intolerant is not supported by current evidence. Studies in the 1980s in support of the hypothesis were largely based on self-diagnosis, which anyone who knows Italians ("Colpo D'aria") realizes is fraught with problems. It is my understanding that later and much better studies have suggested that lactose intolerance in Italy is far lower than suggested 40 years ago.
http://italianthro.blogspot.com/2016/12/italians-arent-lacto...