Are you Marco Polo Diamond or Gold? If not, you'll only get 2 free checked bags and have to pay for the third on CX. Assuming this routing is also on the same ticket.

If you are paying for the extra bag, you can try to keep the receipt and show the agents at HKG that you've already paid, they're fairly nice. OR try flashing your MPC status card, maybe they'll understand your situation, but no guarantee. But as long as you are on the same ticket, you should get the same baggage allowance as the CX leg.

If you flew through with only a connection it shouldn't be a problem though.