One point of confusion here is that leaving one country is not the same as entering the next country. We have questions on this site (for example this one) about traveling between two countries using two passports, where you want to use one passport for one country and another for the other country. You should enter and leave each particular country with the same passport, so you should leave country A with the passport you entered country A with, but you can then enter country B with a different passport. In other words, on a single flight, you can "use" two different passports for the two ends of the flight. So "entering" the destination using your HKSAR passport does not imply that you "left" the US with that passport.
Of course, with the US, there are no exit checks (technically CBP could conduct random checks of departing passengers, but it is extremely rare and I have never seen it happen). In this case, you "leave" the US without needing to do anything. Although US law technically requires a US citizen to "enter" and "leave" the US with a US passport (with some exceptions for children and people with certain border crossing cards), when there are no exit checks, you vacuously satisfy the requirement to "leave" using a US passport without doing anything (technically the law says "bear" a US passport, which could mean just having it in your possession).