Jmb
I almost want to get cross with you (joking) - weight loss on HRT would be something most women would envy - what a lovely excuse to eat a bit more. Joking apart, you perhaps ought to discuss the weight loss with your GP as this wouldn't normally be associated with menopause or HRT - there could another cause. If you are feeling better you may be doing more so burning more calories and possibly need to eat more. Maybe a chat with a dietician would be good.
The headaches could be anything and it's possibly a coincidence that it was on the same day. I get lots of headaches all the time whether on HRT or not. If these headaches were HRT related you would be getting lots more of them.
As for the 'slight' pelvic feeling - possibly a bit of indigestion - highly unlikely to be linked to ovary. Discuss with GP if it becomes persistent and painful.
How are your flushes etc? Are you sleeping better? If these are improved then you are on to a winner. I advice you to stop worrying and looking for side effects and problems and enjoy getting your life back. DG x