Thesnoogle, yes, I had the same problem with the contraceptive pill in my 20s (Eugynon 30) and to a lesser extent with Angeliq oral HRT. It was like a never ending bout of rhinitis. I had allergy tests which all came back negative. With the pill, I went on to develop eczema which hung around for years.
I would guess that it's some kind of hormonal reaction but with HRT I found it wore off after a few months.
If it persists, you might have to consider a different form of HRT but I would stick with transdermal because it is always recommended for migraine sufferers.
It's good that you migraines have improved, it's probably because your hormones are more stable.