Im guessing they meter users differently for traffic going inside and outside the country. On the upstream/provider side it’s not uncommon to see a 2-10x price difference between connectivity inside an island/country vs international carriage.
I believe this is their speak to make it clear you cannot use that data while roaming.
There are not enough resources hosted within the region to make the distinction pointed out by donavanm worthwhile, unlike e.g. China or Russia. The local data from my plan gets used up predictably while I access resources in any part of the Internet.
Could it be that they're including the rest of China in local? Are peering arrangements between HK and the rest of China such that this would make sense?