I'll just give you my advice - my situation was rare and extensive, but I've had ITP and taken both estrogen and progesterone pills.
When I was diagnosed, I was taking Loestrin24 and I never experienced any difference before or after my diagnosis. My periods remained light and I didn't experience a headache.
About six months after I was diagnosed with ITP, I started treatment with Promacta. It, combined with a positive lupus anticoagulant blood test AND loestrin24 was determined to give me a blood clot in my brain.
Because of this, my gynecologist switched me to an progesterone pill (nor-q-d). I've been on it for about 10 months and I don't like it. My periods are incredibly heavy (note: I am on blood thinners on top of maintaining my ITP), they last for about 9 days and I still get cramps. I also think I gained about 5-8lbs from it.
I'm safer on the progesterone pill, but it hasn't worked as well for my non-blood related part of my body as the estrogen pill did.