Whey itself is fine -- specially if soured. The oldest man ever to live in Britain was Thomas Parr whose habitual drink was sour whey and who lived to 152 years and 9 months. (William Harvey wrote about him.)
Bought whey powder is a different matter. It won't be from good quality organic milk, and it will have been spray dried at high temperature, which will have denatured it. (It's also said that spray-drying food creates carcinogens.)
I'd stay away from those powders. I think the best policy is to eat food in its natural state, and for food that needs preparation to prepare it yourself. Just avoid commercial foods.
You could add natural unsweetened yoghurt (preferably organic) to your smoothies instead. That would also have the advantage that you've got the lactobacilli cultures that are used to sour the yoghurt. Or perhaps some banana would thicken them up nicely.