I used to use soy protein back when I was first getting into weightlifting, and discovered that I am actually allergic to most forms of soy protein. My symptoms included hives, rashes and eventually anemia, to add to it all the wonderful gastrointestinal symptoms to include ciliac disease (this is when the cilia of the small intestine become inflamed from an allergic reaction and cannot absorb nutrients). I was lucky that my doctor recognized the symptoms, and we were able to eliminate it from my diet and I saw the symptoms disappear in a matter of days.
If you are having adverse reactions, and you suspect it's something you have added to your regimen, stop using it and see if it goes away. I ca take soy protein in small doses, but the amount that was in the supplement drink was too much for my system. Now, I just take my protein in as natural a form as possible. Eggs are cheap, and so is chicken, turkey and fish, and they are all good for you. Soy, whey and wheat (gluten) protein, on the other hand, have been known to cause issues for a lot of people due to allergies.
Actually, dietary cholesterol takes a back seat to the cholesterol your body produces to break down fats and fatty acids. Hence, your genetics (and your dietary intake of fat, not cholesterol) have a lot more to do with your HDL vs. LDL count. This is how you can be fit in every other way except for cholesterol and triglycerides, and can lead to heart and vascular disease, as well as insulin-resistance and eventually diabetes.
As long as you don't overdo it on the eggs (and 20+ daily is overdoing it, try and keep it to no more than 2-3), you should be OK. Eggs are the perfect protein supplement, by the way. Over 80% of the protein in a cooked egg is immediately usable by the body. Just cook it with a no fat cooking spray (or a souffle) and not butter or bacon grease as it has been done traditionally for western breakfasts.
The vast majority of cholesterol found in eggs is contained within the yolk. If you remove the yolk and just eat the white you'll be fine. Be sure to cook the eggs if you plan on eating more than a few a day as the avidin content can reduce the bodies ability to absorb biotin. Alternatively just buy a powdered egg white product, although watch out for the taste!
Soya protein is (IMO) a poor protein source, and contains phyto-oestrogens (plant compounds that mimic oestrogen in the body). Wheat protein is also a poor choice. A decent whey mix is very unlikely to cause any digestive upset, the problems occur when the lactose content is too high for the individual, although many whey protein blends are lactose free. The best way to ingest powered protein is from a multi-source blend, containing for example, whey, egg white, and casein. Mixed with fine porridge oats this provides a great source of tapered protein and carb release, and keeps blood amino-acid and sugar levels constant for a good few hours.
Check out myprotein.co.uk for some good value products.