I suspect you've been reading the fine print on an advertisement or packaging for one of the estrogen products—for which I congratulate you! It's good to learn as much as you can about your treatment or options.
The mention of dementia is part of the "class labeling" required by the Food and Drug Administration since the Women's Health Initiative in 2002. Even some non-estrogen products in this class receive the same labeling.
In one WHI study, there was a slight increase in dementia for women who used hormone therapy, but it's important to remember that the women entering the study averaged 64 years of age. Additional studies have not replicated those results. It's also worth noting that post-menopausal women have a greater risk than men of developing Alzheimer disease; estrogen has a role in protecting the brain and its function.
For anyone considering hormone therapy, her age and the age at which she entered menopause are critical considerations for heart and brain health. And, as I've said before, every woman, in consultation with her knowledgeable menopause care provider, must weigh the benefits and the risks of hormone therapy for her specific quality of life.