I can only give you my experiences, and what my GP and pharmacist have told me, but hopefully it might be helpful to you.
I'm a little different to you, in that I'm on a medium hrt dose and I'm also on a two-monthly cycle. You are on a low dose and on a continuous routine (ie no periods). I use a 50mcg patch which would be equivalent to double your dose of 1mg of estradiol. 1mg (or 25mcg patch) of estradiol is considered a low dose and 2mg (or 50mcg patch) is considered a medium dose.
I have talked to both my GP and pharmacist about the dose of Provera I am taking with my dose of estradiol, because there just doesn't seem to be any set guidelines about dosages. It is very much an individual thing. Both of them said more or less the same thing - if what you are taking is giving you a "normal" period and you aren't experiencing any spotting or bleeding in between periods, then the dose should be okay. Seeing as I only take the Provera for about 12 days every two months, and I don't get any bleeding in between, I'm certain the lining is being kept thin.
Seeing as you are using a continuous method (ie you are taking the Provera everyday) if you aren't getting any break through bleeding I would think you should be okay. If you are, and if you have been on this routine for a while, (because sometimes it takes a while for the body to adjust to a continuous routine) maybe you might need to consider increasing the Provera dose, or maybe switching to a monthly or two-monthly cycle.
If you want to be really certain about the thickness of the lining, you could have a scan done of your uterus to be sure. However, whenever I've asked my doctor about that, she hasn't been concerned and just said as long as I'm not getting any break through bleeding she can't see any problems.
As for side effects, there really aren't any for me. Every so often I might have some sleep issues for the first few days I take it, but then it subsides, so maybe it's just my body getting used to the sudden increase in progesterone. I do tend to put weight on while I'm taking it, but that also disappears at the end of the course.
How low you can go is very much an individual thing and you can only work that out by trial and error. However, seeing as you are already taking a low dose of Provera (ie 2.5mg) that might be about as low as you can go.