I had the same question about 3 weeks ago for my doctor. I told her that as far as I was explained, periods happen because you ovulated. But yet another bunch of people who have led us into falshood!!!

She explained it to me in a way that makes sense:

Your ovaries send a signal to your uterus that it's producing a follicle (egg), and the uterus responds by thickening and getting ready in case the egg gets empregnated. Only the egg is never released (hence the poly-cystic name) and the uterus releases all that extra thickening and the such. Producing a period without an ovulation. Just like it would if the egg got released but never got empregnated.

In other words, our ovaries are tricking our Uterus into thinking that everything is happening as usual.

I hope this explained it to you. I was pretty confused till she explained this to me.