Helsinki Airport follows European Union's (EU) security regulations. Therefore, passengers arriving from non-Schengen countries (excluding EU countries not part of the Schengen area, as well as the United Kingdom, the United States, Canada, and Singapore) proceed to their connecting flights through security control.
https://www.finavia.fi/en/airports/h...port/terminals
Thus, arriving from HKG, yes, you'll need to clear transit security for any connecting flights (and to access any lounges).
Cheers,
Tseta