oh yes yes yes!!!! I totally AGREE - I posted here a few months ago, or maybe a year ago about EXACTLY the same problem. I've always been a headachy person and get a headache at the drop of a hat ever since my 20s.
But for me it's exactly true that on the SECOND two weeks I get those nasty niggling sickly PMT - type headaches and I was sure it related to the monthly cycles of the HRT patches. I thought I was the only one and it's such a relief to hear someone else say the same thing. I have been on the patches about 5 years and essentially I quite like them. However, the downside for me is indeed the progesterone. 70% of the time it's OK, but every few months I WILL get these nasty migrainey type headaches and then I vow to go to my doctor and get them changed to another HRT. Having said that, my local surgery is so overloaded it's impossible to get an appointment, so I've been lazy and not done anything about it. Then i'll have a few months being OK, and then i'll have a month or two when I get the headache in the last two weeks of the cycle. THe advice on the forum was indeed to change the HRT to another type - if my surgery had free appointments, i'd have tried to have done that as it sounds like a good idea.
it's unpleasant ..... yet another burden to bear! I use HRT as I had premature menopause in my late 30s so have to use it.