After going in the LBS at lunch, I'm not sure because they raised the same thing. They were saying road or mountain bike shoes so is there any reason why mountain bike shoes shouldn't be used with a road bike?
Is the only difference being able to walk in SPD's easier than SPD SL's?
SPD SL's are designed with stiff (slippery) soles and have sticky out cleats. As far as I know they are designed to transfer maximum power from leg to pedal. This can be important to some riders. What difference it makes to the average Joe is hard to say. They are difficult to walk in hence the strange gait of those wearers at cake stops.
For some reason some SPD SL users would not be seen dead with SPD's and associated footwear whilst using their road bikes as it just "ain't right" and "don't look right". Strangely, imho, this perceived dread is at odds with the last sentence in the previous para' where the issue of looks goes straight out of the window..
FWIW: SPD's do the job. They look pretty normal as in trainer-ish normal. You can walk more or less normally in them without mashing the cleats - this is great if you ride somewhere and want to have a wander and take in the view. It is also great if you need to get off your bike and walk up a hill - this is not important to SPD SL riders who are "proper" cyclists and as such do not have to get off and walk up hills. I like them a lot as I live in the wilds up a rutted track that is not really slippery carbon sole friendly.
I'd go SPD's. If you do the exact pedal to choose will spark a debate.
For stonking value for money these are the nuts at the ludicrous price of £17.99 - black, silver or white - the latter would look great on your Allez. Do not be fooled by the cheapness, these are a good quality pedal:
http://www.evanscycles.com/products...=mkwid__pcrid_17321847296_kword__match__plid_
I use the above with these, they are very comfy and I like the lace tidy velcro flap:
http://www.evanscycles.com/products/shimano/mt43-mtb-shoe-ec033000
There are heaps of shoes to choose from and everyone will have their favourite.
Also avoid the oddly mirth-inducing (in some quarters) scenario of the clipless moment with SH56 multi-release cleats instead of the SH51's you will be supplied with. These work wonderfully,
It's just not funny to bang your head, knees, elbows on the ground because you can't get out of your pedals. Maybe one day when a Newbie has a clipless moment and goes straight under the wheels of a bus people will stop seeing it as a really funny thing!
Also, if you go over there's a chance your new shiny bike will get damaged - all for the sake of £15.00!!!
Hope that this helps you.
but it's all part of the learning process. 
