It's not that complicated really!
Just to be clear - most HRT does not suppress ovulation which is why it can't be used as a contraceptive. This is different from the issue of periods. Bleeding can happen for all sorts of reasons.
If you are post-menopause and have cyclical HRT, as some women choose to do then you will (usually) continue to have withdrawal bleeds ("periods") - depending on the dosages and type of HRT.
If you are peri-menopausal then as has been stated on this thread, because ovulation is not suppressed, your own cycle can break through and indeed may do so a lot, if you are early in peri-menopause.
Normally it is the reduction in progesterone which triggers a bleed in an endometrium (womb lining) that has been thickened by oestrogen, and then modified by progesterone - although there are other reasons for bleeding too.
If you take continuous combined HRT (oestrogen and progesterone every day) and are peri-menopausal then your own cycle will probably lead to a bleed at some point. In any case even if post-menopausal, bleeding is common on a continuous combined HRT for the first 6 months.
Once you start HRT you will not know when you become post-menopause - does it matter?
I am still unclear as to why you started HRT if you had no cyclical changes but I presume you had symptoms of hot flushes and the doc therefore did blood tests to determine FSH? This often starts to becone erratic even while periods are regular but it can be tricky finding the right HRT sometimes at this stage. Some women find the contraceptive pill does the job because it suppress ovulation - and there are a couple of types that contain the same oestrogen as HRT although they do contains synthetic progrestogens so I can understand your wanting to use progesterone itself.
Some gynaes ( John Studd notably) prescirbe high doses of oestrogen also , to suppress the cycle - especially when women are suffering from reproductive depression.