I can only say what I felt with the progestins you mentioned, I've had them all.
Norethisterone was quite slow to make me feel worse, when it did, it was a mild depression with no physical effects, it took about four months to build up to anything bad, so to me that is the most tolerable.
Medroxyprogesterone was awful from day one I felt ill, by day four I couldn't get out of bed I was really ill like I had influenza, the real one, I've had flu twice and MPA is that bad physically while also working on your mind to make you feel so worthless you might kill yourself (not helped by no sick line, more stress). That was an experience I will never repeat no matter what my GP threatens to take away. She didn't believe me.
Utrogestan wasn't as bad and if I hadn't had to try the other two first (because my GP says progesterone intolerance isn't a side effect of HRT, wait til she gets this age!) then I might have tolerated it better. As it was I was terrified, I had bad indigestion and couldn't sleep from being totally wired, that was enough to put me off before the real bad stuff started.
Mirena coil, I had for maybe three years before I got so fed up with it I removed it myself. It stopped my periods (the above three progestins didn't, I bled any time with them) but again the feelings of worthlessness and depression were creeping back in. I was totally cured after three days without it, had no physical problem from pulling it out myself either.
You can compare to know if you might have a similar physiology to me, I take tibolone, been over two years in total and it makes me feel better with some indigestion.
As for health scares, tibolone is banned in the US because it can be used for doping athletes (if let loose on menopausal women.

) It is a mild anabolic steroid that our bodies break down into the building blocks of all three hormones that we have lost, so then we make ourselves new hormones out of the tibolone to replace our OE+P+T.
There are the usual warnings about oestrogen+progestin HRT in the leaflet, but tibolone isn't that type of HRT.
Then it says they do not know what tibolone may do long term, they haven't done the studies, which isn't very helpful, but I have high blood pressure, controlled by ramipril, I have enlargement in my heart with two year repeat scans, these are due to a separate syndrome, but these don't make tibolone dangerous. One locum commented it was the safest one for me.
From what I've read it might have no increased risk of cancer whatsoever, but they haven't really done the studies, so the best they can say is maybe it has the least risk.
However if you take tibolone, even though it is a progestin without the side effects, there is no variation in dose, one dose fits all and
you will get no separate oestrogen because tibolone is all three in one package.
It's a choice.
I tried oestrogel with tibolone, but concluded it was the same as just tibolone on its own.