Yeah it happens, our dog is battling immune mediated thrombocytopenia right now that they think is related to the leishmaniasis booster he had. It's rare, but the irony is that it would have been much easier to treat the leishmaniasis and he might not be near death in the ICU. Rabies and parvo are much more dangerous and harder to treat though so you have to risk it with the vaccine because the alternative is worse.