I would stop if the medication is making you feel so ill. Maybe keeping a mood/food/symptom diary will help to chart progress.
It may be that the 200mg of Utrogestan is too much initially.
Heavy periods can be eased by appropriate medication from the GP. Also, if you are 'dry down there', do read the 'bladder issues' and any threads on vaginal atrophy. As oestrogen levels drop the body may become dry: inside and out; skin, scalp, between the toes, nostrils, deep in the ears, eyes

and vaginal area.
The idea is to use 'vagifem' or 'ovestin' every night for 2 weeks to plump up the vaginal tissues. After that, 1 uses as 'required' i.e. every 3rd and every 5/6th night. Some require treatment nightly for many months. The sooner the treatment is started the quicker the vagina will feel less sore, dry and itchy.
Let us know how you get on.