Welcome to your new status - yes it is indeed a strange request, obviously you have had to travel a lot to achieve your DM status, why not just wait until your next flight and get to the airport earlier ? As BRUNOS mentioned, when you return thru immigration, they will ask questions for the reason why you are not taking the flight and may even ask to see if you have an onward flight from TPE, this will all be recorded for future reference as highlighted by other responses and may create problems later if you cancel flights after passing thru HK immigration. I have had legitimate reasons to cancel flights in the past and it took me about 45 minutes to be permitted to come back thru HK immigration.

Lastly, not sure what type of passport you are traveling on, maybe CX will require to see your return or onward ticket from TPE at checkin.... Just a thought.