It's actually more work for CX to locate your bag on your connecting flight and deliver it back to you at HKG once you tell them you don't want to fly upon landing. Airlines can't transport a checked bag when the associated passenger isn't onboard the flight. CX is arguably shooting themselves in the foot operational wise by refusing to short check luggage. Not to mention I can think of plenty of legitimate reasons why one would need it during a layover.
For example:
- carry-on bag not big enough to fit everything
- dropping things off for someone
- need something from the suitcase during layover
- hange of clothes when flying between two different climates
- need medicine

Etc. etc.

The list goes on and on.

I agree with a comment above about forking out a little more for a connection at HKG that's over 24 hours. Probably worth it to avoid the hassle and anxiety. I prefer stress-free travel and don't want to have to talk through a wall. I know for a fact that a connection at HKG exceeding 24 hours on a XXX-HKG-XYZ-HKG-XXX is still cheaper than a HKG-XYZ-HKG roundtrip.