Hymenoptera sting reactions are always difficult to be dogmatic about.
Desensitization probably does not last a lifetime. However there is a tendency to lose sensitivity spontaneously over time. So somewhere the 2 trends probably meet, meaning there may be some increased risk in a person who has had a reaction, but it may be about the same whether they had shots or not.
Honey bee, wasp and yellow jacket venoms are all different, but there may be minor cross-reactivity. The stings by yellow jackets without a reaction are no guarantee that stings by the others would be tolerated.
Each venom can be different. I am very allergic to Wasp, but not so honey bee. I believe that Hornets and Bees both have stingers. Wasps inject a liquid. Please double check before taking this information as accurate.