I had a similar problem with a springer spaniel I had a few years ago. Every summer she'd lick all the fur from between her toes. The Vet treated it with antibiotics and steroid creams.
In the end I asked if there was anything else and the vet suggested evening primrose oil capsules. But said it would take 3 months to see if it worked and cost �90! And if it worked my dog would be on it for life.
On a friends recommendation I went to another vet and got a referral to a veterinary college. It turned out that my dog had an allergy to harvest mites, that could be resolved by washing her feet in salt water! But the consulation cost over �100
You don't need to go as far as changing your vet, but I think it's certainly worth going back to them and asking if there are any skin tests they can do. It may be that the test are expensive and if the current treatment resolves the problem, your vet is reluctant to put you to more expense.