Short checking should be no problem. If they query it, just explain what you are doing - quick turnaround to Seoul and you won't need your checked bag.
The left luggage facility in HKG is very well run. I have no idea what time your flight arrives, but be aware that the left luggage opens at (if I recall correctly) 7:30 am.
A couple of years ago I arrived on an overnight flight from SYD which got in around 6 am. Immigration, customs and baggage were very quick, so I had to hang around the terminal for an hour or so before depositing my bag. (I was doing a similar thing to you - a turnaround to start a DONE4. In my case it was CMB.)
Personally, I wouldn't leave a bag on a carousel for a number of hours.