Otis - I haven't seen any triathlon-specific shops here in HK but there is a good place to buy discounted biking/running shirts - it is called Lai Sing Garment, on Johnston Road in Wanchai. They have a variety of tech shirts there.
Have you checked with the HK Dragons tri club? They can probably point you in the right direction.
http://www.hktriclub.com/index.htm
What races are you training for? I would like to get back into the tri scene but so far I have not been willing to go to the effort to take my bike out to a safe stretch of road. Also, I don't currently have access to a pool.