The OP is right in their basic question, a roaming SIM card has its traffic tunnelled back to the customers home network and it breaks out to the internet in the country where the SIM card was issued. It therefore does bypass the great firewall.

This tunnelling of data is part of the GSM standard and as far as I know China has never sought to meddle with it. This principle was still working in autumn last year.

A previous good value trick was to buy traveller SIMs off eBay from HK for use in China but I think with the requirement more recently to have proof of ID to get a HK SIM card this opportunity has dried up as a mail order service. Traveller SIMs in other SE Asia countries with bundles of data at a sensible price that can be used in China is an option as is using China Mobile's overseas virtual networks, eg. CMlink UK.

So any HK SIM with roaming enabled in China will have its traffic routed via a tunnel back to the network in HK and access the internet from there. That also includes ChinaMobile HK. And you can hence access employer VPNs and any other services typically blocked in China without restriction whilst roaming in China.