Some people do react very badly to the BCP - my friend's daughter became suicidal after being put on the pill for PMT.
My GP did advise that BCP tends to be better tolerated than HRT in most cases because it is stronger and 'overrides' the natural hormonal cycle, so that you don't get fluctuations. HRT works more on a 'top up' basis, so if your own hormones are still variable, sometimes the HRT will top you up by too much or too little, depending on your own levels. Well, she put it more scientifically than that, but I hope it makes sense!