You're confused because your GP sounds lacking in knowledge or unable to communicate with you.
It think it says on the Utrogestan Patient Leaflet that you should expect a withdrawal bleed each cycle. But that's not the point. Your GP ought to have told you.
NHS guidelines state: "Your doctor will usually recommended continuous combined HRT if you are post-menopause (you have not had a period for 1 year or more)."
But were you post menopause when you started HRT? Presumably not or you'd have started on continuous combined then.
https://www.menopausematters.co.uk/postmeno.php
And all the time you are on HRT now, you won't know if you are naturally post-menopause.
I am assuming you use gel - maybe 1 pump? - or low dose patch (25 is the lowest.)
Did your GP explain how HRT works?
Estrogen stimulates the womb lining. Progesterone stops the stimulation and when you stop the progesterone each month the lining breaks down.
If the dose of estrogen is low, or your uterus isn't stimulated by it (and all women respond differently) the lining will stay thin when using 2 weeks of Utrogestan and nothing will be shed (no bleed.)
If you increase the estrogen the lining will be thicker and you will bleed.
TBH if you can see another GP who is more knowledgeable (and knows something about HRT) that may be best.
Yes, you should have an annual review. This is a legal requirement for all prescribed drugs, including HRT.
If you are using sequential HRT then yes it's normal for the lining to be thicker.
The only time for an investigation would be if you were bleeding at odd times ,not at the end of each cycle.