Theoretically the lack of estrogen and progesterone in women causes menses to cease. Therefore why doesn't HRT causes menses?

It should. If hrt is given continuously, in other words, estrogen and Progesterone on a daily basis with no breaks, then you should not have any bleeding unless it is a breakthrough bleed. If you cycle on e and p and go off it them for 5 days then many women will experience light bleeding. Hope this helps.
Depends on drugs. If you have an intact uterus, and post menopausal, estrogen will cause buildup of the uterine lining, but then you need Progesterone to cause it to shed. This is typical of oral contraceptives. Estrogen alone is not usually used for hrt b/o risk of uterine cancer. Estrogen/progestin combinations are often used, and the progestin prevents uterine buildup and prevents a period.