kc_avis
I'm not allowed to post links but if you google "FAA Pilots Handbook of Aeronautical Knowledge" you will find the PDF.
Mechanical engineering sounds like an excellent choice, this will definitely help with some of the ATPL subjects like AGK. It also gives you a solid fall back if the cadet program doesn't work out for whatever reason. It will be a long time before CX starts hiring, I would imagine once they do start needing pilots again priority will be given to ex-KA pilots and then cadets that have been put on hold after their training of which I think there are quite a few as CX had a big recruitment drive in 2018 / early 2019. I wouldn't count on the program opening up until 2025 at the earliest... Although hopefully I am wrong about this!
Waiting that long does give you an advantage however, in that you can start building up your profile now, get involved with as many extra-curricular activities that help build up your core competencies (google pilot core competencies to find more info on this), anything that will develop leadership, teamwork etc. and try doing things now that show your passion for aviation and especially working for Cathay. Document all this so that you can show it when you do apply - they will like this.
Regarding flying experience - personally I would definitely recommend doing some flying but I think getting a PPL or CPL is overkill. If you can get to first solo with less than 15 hours then this shows natural aptitude and also that you are keen on flying. If you are able to do some gliding in your country then I would also recommend that as it develops your skills well and is relatively cheap. If you are taught bad techniques or pick up bad habits these are much harder to correct than learning from scratch. Whilst there are some people with extensive experience like dragoon17c says I would say these are definitely the exception rather than the rule, most people on the program have less than 20 hours when starting and I even knew some who hadn't flown an aircraft at all before going to Adelaide.
I recommended Australia and NZ as these are the closest places to HK that have a generally good reputation for flight training although the same can be said for the US and Europe, when you do choose a flying school though make sure you choose it based on reputation not price. The first few hours are arguably the most important so it is essential you have a good instructor.
Make sure you keep your permanent HKID if you are not living in HK full time as this is essential to get in.