Jenlou, first of all, don't worry, migraines are a very common side effect from the progesterone part of HRT and from what you have said, this is what is happening to you. This issue comes up regularly on here and women like myself who never suffered from migraines pre-menopause often start having them when they hit the menopause. Mine are caused by all types of progesterone used in HRT preparations in conjunction with low oestrogel levels - I am not progesterone intolerant per se and didn't have problems with my own. There needs to be more research to establish why this happens to so many women.
I started suffering from silent migraines (visual disturbance without headache) once my oestrogel levels dropped (I had a Mirena coil at the time which contains synthetic progesterone) and after many consultations with various specialists and a lot of time, I now know that the only way to stop them is to severely minimise my progesterone intake. I am a very extreme case but I am lucky enough to have unlimited access to uterine scans with my gynaecologist meaning I know I can take a very low dose of progesterone and still get adequate womb lining clearance and thinning. The standard NHS dose would be completely out for me so now I just take a few Utrogestan capsules vaginally and fortunately it is enough but of course you might not be the same so you will need to find out.
In order to feel good and eradicate all menopause symptoms, I need a high dose of oestrogen and I find that Oestrogel (you rub it on your skin) works brilliantly alongside low dose vaginal Utrogestan so you might want to read up on it - check out Professor Studd's website. Migraines are definitely not a contraindication for HRT, you just need to get the dose right but it might take some time. If you suffer with migraines, it should be possible to ask for a similar low dose progesterone regime on the NHS or you might have to seek advice from a menopause specialist.
I hope that helps.