You can do either really. If you/your body likes more constant levels of utrogestan, you can take it continuously during peri - but with a break to allow a bleed. Usually 5 days, more than just 3. That allows enough time for you to shed what needs to be shed. As for when that bleed happens though, I find it's best to listen to my body. My cycles have got a lot shorter recently and if I start to bleed around day 21, I will stop the utrogestan there and allow a bleed for 5 days. That way you are not 'fighting' your body's own bleeding cycle. If I get to day 26 and there's no bleed, then I stop to allow one.
I take no P days 1-5, then I take 300mg days 5-16 and 400mg days 16 onwards (either till I bleed or till day 26, whatever happens sooner). I am on a high E dose though. If I were on 'normal' levels of E I don't know if I'd take this much P.