When leaving mainland China, your passport is checked 3 times.
1) at the check-in counter [airline staff]
2) at (exit) immigration [immigration staff]
3) At the gate as you board [immigration staff]

I would show your US passport at 1 (to ensure you have the right to enter the US)
Show your HKSAR, which you used on entrance, at 2 (as they place an 'exit' stamp next to your 'entrance' stamp)
Show your US passport at 3 but I think you can get away with either as (I believe) they are just making sure Chinese citizens have the authorization to leave the country.

Regaring the question about entering/leaving a third party country (a country you are not affiliated), I would choose the passport (be sure to use the same in and out) that give you the most flexibility (i.e. less paperwork) and the country that you would want representing you should something bad happen. An American is always American but it might pose an issue if there is no formal evidence the American-you entered the country in question.