Roaming on any SIM will get you unfiltered Internet access (unless of course the country of the SIM's home network filters the Internet too!)

One reason to roam in China on a SIM where the home network is in HK rather than one where the home network is much further away is performance. It may not matter to you if you just want to browse, but if you need good Internet access for work, roaming on an HK SIM gives excellent speeds, very similar to non-roaming speeds, whereas roaming on (e.g.) a UK SIM is quite noticeably slower.

For those that are interested, this is because roaming is effectively implemented as a VPN back to the home network -- all your Internet traffic is being routed back to the home network, which introduces a lot of extra latency if the home network is far away.