From what I understand progesterone is more effective at controlling the endometrium when used vaginally as it is absorbed unadulterated into the bloodstream, and also in proximity to the target tissue.
When taken orally most is converted to other metabolites in the liver (hence you feel groggy) due to the first pass effect.
This is the same principle for estrogen, and you will notice that the oral doses are MUCH bigger (milligrams) than transdermal doses (micrograms). Whilst some of this is due to the era in which they entered the market, it is largely because most of what we take orally is lost before it gets into the circulation, vs something that goes directly into the circulation.
Certainly in the world of infertility and miscarriage prevention where the stakes are much higher, micronised progesterone is ONLY used vaginally (occasionally rectally if bleeding heavily) but oral use is not considered reliable enough.
It is not a cause for concern if you don't have a withdrawal bleed.