I am in a similar situation, but now am an intern.
One of the programs I really was interested in had an A/I department (with some well-known faculty), but they had no fellowship...this seemed like a big drawback.
So my current program has both a ton of cards cases and a (relatively) large A/I section with a program taking 2 fellows/year in the peds track. There are adult-trained fellows also and also an AI/Rheum fellowship with cross-training in all of them.
The AI fellows here also do BMT, so there's some Heme/Onc overlap as well.
IMHO, it's nice to be a resident in a program that has a fellowship and is known to retain trainees for the fellowship...but it's not essential. Of course it's great to be at a program with lots of volume of immunodeficiencies to learn from, but the drawback is it's a very large program and so may not have that "close-knit family" feel that some are looking for...
Good luck!