Cheese isn't bad or harmful for dogs, but, some dogs, like some people (including me), are lactose intolerant.
Dogs generally don't have problems with dietary cholesterol, the way humans do. So, it's not the fat or cholesterol in cheese that's the problem, it's the lactose in all dairy products (cheese, milk, ice cream etc) that some dogs have problems digesting.
My last dog adored cheese, particularly Edam cheese. She would eat no processed cheeses at all, but loved most natural cheeses. She could pack away quite a bit of cheese without experiencing any digestive problems or upset. I had another dog who loved milk, which she could consume without any problems.
My present dog loved a little Velveeta as a treat when she was a puppy, but now won't touch it. She also prefers milder natural cheeses, particularly swiss cheese and yogurt cheese. But, if this dog eats more than a small amount of cheese, she often gets diarrhea, and she is likely lactose intolerant. So I'll give her small amounts, and that doesn't seem to create any problem for her.