Sexual selection would operate on a different (neotenous) trait, and the lactase production gene would come along for the ride.
Genes and organsisms are complex beasts, so traits will often be clustered together. An interesting related experiment is one performed on foxes, where they were bred for 'tameness' and gained a whole raft of other dog-like traits: http://www.freerepublic.com/focus/news/807641/posts