I'm in logistics (my colleagues are the 'cargo doggies' ) and can reassure that it's not only rubber dog poo being shipped via air. There is still a lot of time-sensitive freight moving via air as there's no alternative to it. Critical electronics components can't get on a ship for 4-6 weeks to Europe - same applies to final consumer products like the latest generation of iPhones. Not to speak of perishables like food, being re-exported from other countries via HKG. It's a mix then of lowering margins for carriers and freight forwarders and slapping it on to retail prices for end consumers if fuel surcharges are high.

But yes, many goods are being manufactured from Pearl River Delta and the other airports are not being fully utilized yet. Nevertheless, it's not always full freighters - to many destinations it's better to buy belly cargo space of passenger flights. And that is something you can't just simply move to Macau/Shenzhen if the majority still wants to fly to HKG and could not be bothered to cross the border via road/rail.

As for the other goods: According to Census & Statisitcs Dept. HKG is re-exporting 90%+ of it's imports, underlining it's importance as transportation hub in Asia-Pacific where e.g. multi-(Asian)-country consolidation takes place to leverage on economies of scale for freight rates ex HKG to other destinations (instead of multiple smaller freight volumes on direct flights for higher price). When considering again utilizing cargo space of passenger flights, not everything can be handled at the other airports cost-effectively.