What about the compatibility for the calf??? 
I know that calves are weaned off their mothers as soon as possible (within a week or possibly two) and onto powdered milk from a bucket til they can take solid food, but there is that first stage (during which the milk can't be sold anyway as it is a different product to start with called colostrum) when the calf is suckling the cow. If the colostrum is genetically modified (which I presume will be the case) will it be something all calves can cope with or will there be a proportion that can't (as there is a proportion of humans who can't cope with cows' milk)?
If so, then I think it does definitely raise ethical questions.
And yes, I think it also raises consumer choice questions IF it is not labeled to indicate that it is GM. If it is so labeled then consumers can select the one they are happy with.