I can tell you the many disadvantages of learning to fly in HK as opposed to oversea...
As slam525i have said, there is an entrance fee of $35000 HKD for annual fee, $1320 monthly fee, $2250 HKD/hr for a C-152 and $2500 HKD/hr for C-172. You need at least 40 hours to obtain a license.
As you've said, flying in Hong Kong is very limited as Shek Kong Airfield is closed for public during the weekdays (PLAAF occupies it during that time) and weekend is packed with bookings. So it takes you way longer to finish up the hours required. The longer you have to wait, the more monthly fee you have to pay for no good reason.
Then comes the learning process... The way it works is, the more frequent you fly, the easier you will learn. If you fly once a month, you will probably takes you way more than 40 hours to know how to operate an aircraft safely and proficiently. Which means more hours must be dedicated and more cost involve.
For example, if you are fly twice a month for 2 hours (on a C-152) each time, and assuming you will need around 60 hours to learn everything, that is already 15 months.
(60 x 2250) + (15 x 1320) + 35000 = $189800 HKD
Almost $190k HKD for just a PPL!?! I'm sure there are better ways of using that much money on aviation elsewhere.
General aviation in Hong Kong is not really for everyday folks with limited income. Hence, people go elsewhere to learn how to fly and enjoy their hard earned money in something more enjoyable than say.... membership fees?