Indeed. The walk between Hong Kong and Central stations is long, but it's all in a very clean and very wide underground tunnel with people mover walkways and not unlike being in an airport itself.

The A1 exit of CWB station on the other hand is a very narrow and sometimes very crowded corridor without the aid of people movers (if I remember correctly).

I might prefer the former with a lot of luggage. That said, the best option in that case might be a taxi direct from Hong Kong station, which doesn't require walking to Central.

Of course, all of these are very easy compared to the options in a less compact city! I'm going to Tokyo for the first time in awhile soon and am kind of daunted by how spread out it is.