If all legs are on one PNR, you'll get the boarding pass for the train upon check-in in HKG and your luggage will be delivered right to the train in FRA. If the city of Cologne itself is your final destination, the train is quite convenient.
Personally, I prefer to fly into CGN via MUC because I usually pick up a rental car upon arrival and that's much easier and quicker done at the airport than at the Cologne train station.