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A very small example where the answer is no:

Suppose $k$ has characteristic not two and $A=k\langle x,y:x^2=1, y^2=0\rangle$ with $\Delta(x)=x\otimes x$, $\Delta(y)=y\otimes 1+x\otimes y$, $\varepsilon(x)=1$ and $\varepsilon(y)=0$; this is the Sweedler Hopf algebra. Let $E$ be the subHopf algebra generated by $x$, which has $\{1,x\}$ as a basis. Then $R=k\otimes_EH$ R=k\otimes_EA$ has $\{\overline y=1\otimes 1=1\otimes 1,\overline y=1\otimes y\}$ as a basis, and its coalgebra structure is given by $\Delta(\overline 1)=\overline 1\otimes\overline 1$, $\Delta(\overline y)=\overline y\otimes\overline1+\overline1\otimes\overline y$, $\varepsilon(\overline1)=1$ and $\varepsilon(\overline y)=0$.

Since $E\cong k\times k$ as an algebra, the category $\mathrm{Mod}_E$ is semisimple.

On the other hand, suppose $M\in\mathrm{Mod}_A^R$. One can check that the right $R$-comodule structure $\rho$ of $M$ is determined by a linear map $\phi:M\to M$ such that $\phi^2=0$ by the equation $$\rho(m)=m\otimes\overline 1+\phi(m)\otimes\overline y.$$ Similarly, the $A$-module structure on $M$ is easily seen to be such that $m\cdot y=0$ for all $m\in M$ and $\phi(m\cdot x)=\phi(m)\cdot x$ for all $m\in M$. It follows that one can identify an object $M$ of $\mathrm{Mod}_A^R$ with a $4$-tuple $(M^+,M^-,\phi^+,\phi^-)$ such that $M=M^+\oplus M^-$ is the decomposition of $M$ as direct sum of the eigenspaces of right multiplication by $x$ (the only possible eigenvalues are $1$ and $-1$, and it is diagonalizable) and $\phi^{\pm}:M^\pm\to M^\pm$ are the restrictions of the map $\phi$ to $M^+$ and $M^-$ (so in particular they square to zero). Moreover, morphisms in $\mathrm{Mod}_A^R$ have the obvious description in terms of these $4$-tuples.

Now, it is very easy to see using this description that $\mathrm{Mod}_A^R$ is not semisimple: for example, the object $(k^2,0,\left(\begin{array}{cc}0&1\\0&0\end{array}\right),0)$ is not semisimple (in fact, the category is the direct sum of two copies of the module category over the quiver $\bullet\to\bullet$). It follows that $\mathrm{Mod}_E$ and $\mathrm{Mod}_A^R$ are not equivalent in this case.

(The answer is yes, though, in the two extreme cases where (i) $E=k$ or (ii) $E=A$ (the first one is the «fundamental theorem of Hopf algebras», the second one is trivial)
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A very small example where the answer is no:

Suppose $k$ has characteristic not two and $A=k\langle x,y:x^2=1, y^2=0\rangle$ with $\Delta(x)=x\otimes x$, $\Delta(y)=y\otimes 1+x\otimes y$, $\varepsilon(x)=1$ and $\varepsilon(y)=0$; this is the Sweedler Hopf algebra. Let $E$ be the subHopf algebra generated by $x$, which has $\{1,x\}$ as a basis. Then $R=k\otimes_EH$ has $\{\overline y=1\otimes 1,\overline y=1\otimes y\}$ as a basis, and its coalgebra structure is given by $\Delta(\overline 1)=\overline 1\otimes\overline 1$, $\Delta(\overline y)=\overline y\otimes\overline1+\overline1\otimes\overline y$, $\varepsilon(\overline1)=1$ and $\varepsilon(\overline y)=0$.

Since $E\cong k\times k$ as an algebra, the category $\mathrm{Mod}_E$ is semisimple.

On the other hand, suppose $M\in\mathrm{Mod}_A^R$. One can check that the right $R$-comodule structure $\rho$ of $M$ is determined by a linear map $\phi:M\to M$ such that $\phi^2=0$ by the equation $$\rho(m)=m\otimes\overline 1+\phi(m)\otimes\overline y.$$ Similarly, the $A$-module structure on $M$ is easily seen to be such that $m\cdot y=0$ for all $m\in M$ and $\phi(m\cdot x)=\phi(m)\cdot x$ for all $m\in M$. It follows that one can identify an object $M$ of $\mathrm{Mod}_A^R$ with a $4$-tuple $(M^+,M^-,\phi^+,\phi^-)$ such that $M=M^+\oplus M^-$ is the decomposition of $M$ as direct sum of the eigenspaces of right multiplication by $x$ (the only possible eigenvalues are $1$ and $-1$, and it is diagonalizable) and $\phi^{\pm}:M^\pm\to M^\pm$ are the restrictions of the map $\phi$ to $M^+$ and $M^-$ (so in particular they square to zero). Moreover, morphisms in $\mathrm{Mod}_A^R$ have the obvious description in terms of these $4$-tuples.

Now, it is very easy to see using this description that $\mathrm{Mod}_A^R$ is not semisimple: for example, the object $(k^2,0,\left(\begin{array}{cc}0&1\\0&0\end{array}\right),0)$ is not semisimple (in fact, the category is the direct sum of two copies of the module category over the quiver $\bullet\to\bullet$). It follows that $\mathrm{Mod}_E$ and $\mathrm{Mod}_A^R$ are not equivalent in this case.

(The answer is yes, though, in the two extreme cases where (i) $E=k$ or (ii) $E=A$ (the first one is the «fundamental theorem of Hopf algebras», the second one is trivial)