Is one allowed to buy coffee from a non-Jewish shop that has Cholov Yisrael?
Must I be concerned that the non-Jew will change the milk?
The question is vague and I will try to address a number of scenarios.
There is a situation in which you know that in the past the gas station or shop catering to frum clientele have used cholov Yisroel. Can you rely on that precedent to use their milk without checking if they are still using cholov Yisroel?
To that question, the answer is: The fact that you know that the coffee shop often uses kosher products is insufficient to rely upon without a mashgiach or reliable hechsher.
If you are makpid on cholov Yisroel, you should not make any assumptions about the coffee shop or rely on the statements of the gentiles working in the kitchen.
Therefore, if the non-Jew adds milk to your coffee and you do not see where he or she got the milk from, you should not assume that it is cholov Yisroel.
Your question might have been referring to the following situation and you meant to ask:
What if I see the non-Jew pouring milk from a cholov Yisroel container but I did not see him open the container? Should I be concerned that he added cholov stam or switched the milk from one container to another?
In my opinion, if you see the non-Jew pouring milk from the cholov Yisroel container, you may assume that he has not switched the milk to cholov stam or added cholov stam to the cholov Yisroel container.
The Chazon Ish (Y.D. 41) relies on the opinion of the Pri Chodosh and maintain that after the takonoh of Chazal, a Jew is not required to see the milking. In the opinion of the Pri Chodosh, the Mishnoh requires that one neutralize any concern that the milk came from a non-kosher species of animal. An umdono would seem to be sufficient for identifying and maintaining cholov Yisroel.
I think it is far-fetched to suspect that an attendant at a gas station or waiter would go to the trouble of deceiving the Jewish customers that they have cholov Yisroel available for them when they do not. If the shop really ran out of cholov Yisroel a waiter could say that it is not available without consequence instead of taking regular milk and pouring it into the container that had once held cholov Yisroel. It would mean that it would have to be premeditated to save the empty container instead of disposing it. It would mean that they would need to take the risk of being caught doing something deceptive. It would mean violating standard food industry behaviors not to mix new milk with old milk containers which could lead to premature spoilage.
For these reasons, you may drink coffee with milk at such a coffee shop or gas station if you see the attendant pouring from a cholov Yisroel container.
For further information on this topic see http://5tjt.com/an-open-question/ .
 Rav Moshe (Y.D. 147) doesn’t necessarily disagree, but adds an argument that even were one to disagree with the Pri Chodosh and maintain that after the legislation of cholov Yisroel, a Jew must actually see the milking even if he is sure that it is cow’s milk, nevertheless, milk in the U.S. is to be considered Cholov Yisroel as if a Jew saw it.
It is possible that even according to Rav Moshe’s approach, once milk has been deemed cholov Yisroel an umdono is sufficient to treat it as such. According to the Chazon Ish, one never needs more than an umdono to treat milk as cholov Yisroel.