PET ALLERGIES:allergies and behavior?

just purchased a 4.5 mth old male dumbo. I've been told rats get allergies. Do rats get allergies to pollens and dust just as humans do? My home is very open to pollens because of where i live. He sneezes a great deal, especially upstairs and especially when i hold him. When he settles down, the sneezing lessens greatly. no other symptoms. Or is stress the problem? He has been with me 10 days. He is also the first rat i have seen reject most of the treats i introduce to him. Can rats be finicky? This is my first male of my 4 other females. Are males moody?