Yes you should absolutely complete the course of progesterone.
The objective of the progesterone is to prevent hyperplasia, the bleeding is just a side effect not the goal, which you have chosen to accept in order to reap the quality of life and long term health benefits of non-continuous progesterone exposure.
You are lucky to have a provider who supports this, and it works both ways, they have to be able to trust you take it as agreed, as they are already risking professional scrutiny and criticism from their peers for individualising your care in this way rather than sticking rigidly to guidelines recommending continuous progestogen postmenopausally.
If you are going it alone with long term non-continuous progestogen treatment then it is even more important to be fastidious about protecting your endometrium.