I experienced a lot of the same things as you. I did not go into the PB/Paleo lifestyle to lose weight since I was already in good range but I did it to help with my allergies/IBS and energy. I had rough headaches during the first week but it wasn't due to the change in food but removing caffeine from my diet. After a week I was fine. I no longer have IBS/gas/bloatiness like before, and my seasonal allergies are a thing of a past. It makes sense though, you eat good quality food and remove the biggest allergen/offenders and you start feeling good almost instantly. This lifestyle is very proactive and that's why I love it.
"If man made it, don't eat it" - Jack Lallane
People say I am on a "crazy" diet. What is so crazy about eating veggies, fruits, seafood and organ meats? Just because I don't eat whole wheat and processed food doesn't make my diet "crazy". Maybe everyone else with a SAD are the "crazy" ones for putting that junk in their system.