Thank you all so much for these replies. It's all a bit of a minefield at the beginning isn't it.
I think I'm going to do as the GP suggests for this first month and see how it goes. I'm only a week in.
I've been so depressed and tearful this past week but today is the first day I've not actually felt too bad so fingers crossed it maybe kicking in! Still no period for me this month, think I'm on day 40 now, it'll be interesting to see what happens when I stop the Utrogestran. (GP said to just start it, even though I'd not had a period at day 33 and continue for 25 days. Then stop for 7 days when I should get some bleeding). We will see!
Many thanks again to you all and good luck Hurdity too