Health conditions came from their medical records, I think. It's Danish study, Autumn,data over 18 year period. So even if you found out how testing happens today for those conditions in Denmark, might have been different in year 2000. Such problems with observational data quality is a reason why RCTs are preferred, but no RCT on people using HRT is going to run 18+ years. At least it's case-control design, not simple cross-sectional.
I suppose you could reliably say that the diagnosed conditions will be at the more severe end of spectrum, that's why they got diagnosed, not the (very) mild ones. That rule about severity of the health condition applies to the controls, too, though, the people without dementia diagnosis.
The control women were age 68-78 by year 2018, so beyond 'middle age' by monitoring end.