I left a few days ago but the month of May wasn't too bad.
I'm not an experienced traveller but HK was my first taste of an extended period of serious humidity. I recall numerous days of arriving back at my flat quite damp and feeling in need of an immediate shower.
Fortunately, it wasn't roasting hot in HK. I've been in 40+ in Greece and Turkey and let me tell you, that was unpleasant. I really didn't want to do anything outside.
I did museums and shopping when it was raining. Or because I had the luxury of an extended stay in lovely HK, I stayed in for the one day it rained considerably. It petered out by 6pm if I recall and I went out in the cooler-than-average evening that the rain caused! ^