The process of cheese making is based on the bacterial cultures converting the lactose in milk to lactic acid.
This process drives the conversion of liquid milk to curds, which eventually becomes cheese. This conversion also causes moisture (whey) to be released.
So when using lactose free milk, while there is no lactose, there is still glucose and galactose, which can be used by the lactic bacteria (not as well as lactose, but enough to acidify the milk, which is what we're doing with cheese making).
Therefore cheeses that do not require starter culture like, ricotta, halloumi, etc are fine as they don't need to do this.
Please note that as an exception, Mozzarella will not work, as it really needs high-quality unhomogenised milk.
For those requiring starter culture, you may see a slightly lower yield that the recipe states and the product may be a little crumblier.
For Halloumi, it won't be as squeaky, and may have a floury texture.