You can do it the other way around: instead of filtering lactose out of the milk you filter the solids making a protein and fats concentrate.
This is mostly used as a preprocessing step for cheese production, but by rehydrating you get ultra-filtered milk, which are lactose-free and not sweet.
Oh yes.. I haven't thought of this. Oh my. Ultrafiltration by/with osmosis and a semi permeable membrane allows to remove water and small molecules. The same process as dialysis-treatment in kidney failure. To get the sugar and water solubles out of milk, you need to pull a bit of the water from the milk and with it all the stuff that is smaller than the holes in the membrane (filter). And then, you readd plain water or take the ultrafiltrate and do a second stage of filtering with even finer membrane. And readd this to the now concentrated, thick milk. If it's not like the principle of dialysis, then maybe be like lipidapheresis which is a bit different in function. Or a Mix of the two systems :)
This is mostly used as a preprocessing step for cheese production, but by rehydrating you get ultra-filtered milk, which are lactose-free and not sweet.