While sufficient research has not been done to put claims of efficacy on jars of local honey for treating hay fever, there is little doubt in my mind that it can be effective given a few caveats. Firstly the honey must not be over filtered to the point where the relevant pollen is not present. The mesh mine goes through is so course that bits of wax etc often slip through the net so to speak! It has to contain the correct pollen. If you are allergic to grass pollen, it is unlikely to help you unless the protein you are allergic to is also present in something the bees do collect pollen from. (They don’t tend to collect it from grasses as being wind pollinated grasses don’t produce nectar.) You also need to start taking the local honey at least a couple of months before the offending pollen appears in the air from trees/oil seed rape or whatever else you might be allergic to.
I can say that since I started keeping bees and eating the honey they give as rent in exchange for my providing them with housing I suffer a lot less from hay fever. Of course this may be due as much to the desensitising injections the bees give me occasionally as the honey!