Periods and sugar pills

I've been through 6 different pills. And I've finally found one that works without side effects and making me bleed every day. However, this brand of pill makes me have my period on the second week of pills rather than on my sugar pills. I do start my period if I miss a pill as well. This has gone on for about 4 months. Is it ok that my period isn't on the sugar pills? And are my pills even working?