Well, I can try to answer some of your questions. Yes the WHOLE process takes place in HK only.
I assume the interviews will be held in English only, as english is a 'must'. Correct me if i am wrong pls.
Cathay will send you a pack of information when you sucessfully passed the first interview and inital tests.
It will be useful to have a pack of information send by Cathay, but, if you are really into aviation and a truely wannabe, wouldn't you know something already?