When going through an MFA enrollment process, I was able to use a HK phone number as expected without any issues.
If you are trying to add a phone number either through the Management API or via the Dashboard, if the phone number is not an attribute assigned to the connection OR if you are not using a passwordless SMS connection, it will through the respective error.
Could you also double check if the phone number you are trying to use is indeed a valid HK number which does not violate any other rules?(such as the region codes