From a brief think, it might be varying with both types of hormones just as the HRT risks do.
The oestrogen component will have risks of clotting, stroke, venous embolism, heart attack, DVT etc (and many others) - that's the migraine link area too.
The progesterone one will, amonst others, have potential cancer links (like breast cancer?).
There's obviously all sorts of other risks too.
All risks will vary with the route of administration as well as dose and timing and exposure.
Exactly why? Difference in the exact chemical compunds, what effects they have on the body in general and specific types of systems/cells in particular, how exactly they are metabolised and into what other chemical(s) and lots of other pharmacological, biochemical and generally complicated things which, frankly, I'm not sure that anyone knows (rather like the various hrt questions, really).
There will be stated reasons, and specific different risk profiles, but it's take quite a lot of internet searching and looking at research papers to find out. And probably quite an ability to understand pharmacological and pharmacokinetic and dynamic research paper (wich can be extremely boring, believe me).
Trouble is, even if you make an informed choice depending on risk, it doesn't mean that the dratted thing and its particular chemicals will suit you.
Helpful? Probably not. Sorry.