Ignoring the fact that the older types of HRT were used, there are comments from a doctor today (in The Times) that the women who did go on to develop dementia may have had it already.
some of their meno symptoms (like insomnia, forgetfulness, flushes) may have already been unrecognised early symptoms of dementia OR be in some way connected with the development of dementia. So looking at it another way, HRT may have been requested by those women to treat (undiagnosed) dementia.
Dementia is now the biggest cause of death in women, regardless of HRT or not.
Lifestyle is thought to be one of the key factors in prevention (exercise being good) because the brain relies on oxygen for its health. Exercise improves the circulation. In vascular dementia, the brain is harmed by damage or deterioration to the blood vessels in the same way that the heart can be damaged through furred up arteries.