Two things.
(1) The price for the PEK-HKG is actually quite good - though it does involve at least one long layover. Given though that the transfer is in Shanghai you may actually need that long layover time to make the connection ..

(2) For the PEK-SZX price you need to know that the ITA system can only see the "100%" price for domestic China routes (the government fixes the maximum price for domestic routes in China -then the companies can offer discounts on this price). For pricing of domestic flights in China it is better to use Ctrip or Elong or one of the other China-based agencies. They will show you the up-to-date discounts available.

For your dates, the best price for PEK-SZX I can see on Ctrip is 2490RMB (inc taxes) = 390USD. This is for
PEK-SZX: ZH9660 Dep:12:10 Arr: 15:25 (1230 RMB + 190RMB)
SZX-PEK: CA1384 Dep:22:35 Arr: 01:30 (880 RMB + 190RMB)

The best non-stop price for PEK-HKG (ITA works here - this is an international route) is Hong Kong Airlines at 419USD. So, just by a whisker (if you only consider direct flights), it is still true that the PEK-SZX return is cheaper than PEK-HKG....

At those prices though you should go with the HKG option - either direct or with the long transfer if that is okay with you. The ground (or sea) transfer costs to Hong Kong from SZX will bring the price up, not to mention the added hassle. I flew PEK-HKG last month, and was in a bar in Central enjoying a drink only 80 minutes after the flight touched down.