Milly, I wouldn't change your progesterone dose. 200mg for half the month is the standard dosage for sequential HRT. Any less than that and you risk not having enough progesterone to protect your uterus.
I would ask - do you have a history of endometriosis? Or perhaps of heavy periods and pain with periods (as it might have been undiagnosed endo)?
One of my endo twinges I get when I have a flare, is sciatic pain down the very top of my thigh. For me, that could most definitely be caused by too much estrogen (which can feed endo), or not enough progesterone (which opposes the estrogen and suppresses the endo).
The other possible cause could be your ovaries. Is it in the kind of ovary area? I was on the desogestrel POP before starting HRT and I stopped the POP when I started HRT. My ovaries suddenly woke up after about 5 weeks and started firing shooting pains everywhere... It did go away again after a week or 10 days.
The migraines, it most definitely could cause - but hopefully that is just a blip and will go away again and is about your hormones stabilising.