Hi Carolynek
Its very difficult to determine what's going on if you are still ovulating regularly because your natural cycle will overide the HRT especially early on ibn the menopause journey. What were your periods doing before you started HRT - were they regular or long gaps in between?
Also is there a particular point in the cycle that you are getting headaches etc? As CLKD says - it would be a good idea to keep a diary of your symtooms for two or three months and see if they correlate with part of the hRT cycle. Could the sensitive scalp ad headahces be migraines? I get these from time to time and often when on the progesterone part of hRT or from progesterone withdrawal ie after stopping the progesterone part.
Some women also get hot flushes when on the progesterone part of their hRT cycle. What dose are you taking, for how many days and are you taking them orally?
Good that you are getting other things checked out as per Taz's recommendation.
Perimenopause though is notoriously difficult - to work out what you need for the best! Hope things improve soon
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Hurdity x