I would recommend that picking Marco Polo as your oneworld FFP makes sense.

However, dedicating yourself to always flying Cathay Pacific from Hong Kong -their home market where they can charge a premium - means you will seldom be buying the cheapest ticket.

Again, rather than "obsessing" about building up a mileage balance by always flying with one carrier - which can mean spending 5%, 10%, 25%, 50% or more on your tickets than you would have to if you went with a different carrier - just fly as you normally would have. Just have more than one frequent flyer account open in your name - and direct the miles from each trip to whichever programme makes sense for that trip.

An extreme example: Economy class, HKG-LHR-HKG, outbound 13 September, inbound 20 September: cheapest non-stop is HK$7930 on either BA or Virgin Atlantic; cheapest fare on CX is $27600. [Cheapest one-stop is HK$5312 on LX; plenty of other options for less than BA/VS]