Zxxx is not just 'China', it is the People's Republic of China, North Korea and Mongolia.
Hong Kong (and Macau), while now a part of PRC, are still somewhat separate as they are Special Administrative Regions.
Plus, ICAO codes were developed long before HK and Macau were returned to PRC. It is unlikely to ever change (no point as everyone knows the codes), just like the IATA airport codes for some Chinese airports based on their Romanised names (i.e. PEK for Peking/Beijing, CAN for Canton/Guangzhou) etc