But there is no such thing as domestic consular protection. The language sounds very odd. You wouldn't go to your own country's consulate at home for help in anything, right? In fact, I doubt I'd even find a consulate of my own country within my own country.

There's another blurb further down that may shed some light : http://www.gov.hk/en/residents/immig...nality.htm#/q2

Unless you have renounced your Chinese nationality, you are a Chinese national in the HKSAR. If you choose to be treated as a foreign national in the HKSAR, you may with valid documents in support, make a declaration of change of nationality to the HKSAR Immigration Department. Upon approval, you will no longer be regarded as a Chinese national and can enjoy consular protection from the country of your declared nationality.

You are supposed to renounce your HK citizenship if you enter Hong Kong on a foreign passport. Whether you do it or not is another question. Technically, the two citizenships cannot co-exist together.