In a natural cycle, oestrogen causes the lining to proliferate, progesterone changes the nature of it (produced from mid-cycle) and the fall in both of these starts the period.
With sequential hrt, the drop of progestogen at the end of that phase causes the bleed.
With continuous progestogen in non-bleed hrt, the progestogen stops the proliferation of lining by oestrogen (which is low) by gradually atrophying the glands.
If you are on continuous oestrogen, lining will proliferate until the oestrogen drops and then there is a withdrawal bleed, or until there is too much - a breakthrough bleed. Because the lining has not been changed by progestogen, it breaks off incompletely and there is bleeding from this as well as the lining.
Presumably if O is low there is not much build-up.