Hi Caggy, utrogestan is infamous for causing zombie effects. I got used to it fairly quickly but not all are as lucky. Some take utrogestan vaginally (off licence) and find it has fewer side effects.
Re hair loss I found this from a quick Google:
'Some HRT contains synthetic progestogens with a high androgenic affect, which can have a negative effect on hair. HRT containing Norethisterone or Levonorgestrel are best avoided. Good hair friendly options include compounds containing Hydroxyprogesterone, Dydrogesterone, and Medroxyprogesterone.'
Everol Conti contains norethisterone so that does seem to explain what you've experienced. The Mirena coil contains levonorgestrel so be aware to avoid that one too (it's very popular). Thyroid function is another thing to check, but from what you say it does seem you were reacting to norethisterone.