Is it allowed to wear a bulletproof vest and a bulletproof helmet in Hong Kong. I mean in areas like the Airport (including beyond security, immigration etc.), roads, general public areas?
I decided to dig into this for the curiosity aspect and discovered Why are bulletproof vests illegal in many countries?
Under Schedule C (item ML13) of Cap. 60G Import and Export (Strategic Commodities) Regulations, "armoured or protective equipment, constructions and components" are not regulated "when accompanying their user for the user’s own personal protection"
So according to random links on the internet it appears that your friend can bring such items into Hong Kong for their personal use.
However as I stated in my comment above, if your friend is this paranoid about personal safety then there are way more things going on than can be answered here. Your friend needs to consult with a business that provides personal protection.
Note that this does not mean such items are legal in the country that your friend is departing from. I also just saw Hong Kong photographer arrested over bulletproof vest allowed to leave Thailand, still faces charges
A Thai court on Monday said a Hong Kong photographer detained for carrying a bullet proof jacket and helmet was free to leave the country, although he still could face five years in jail on a weapons charge.
Both items are classified as weapons under Thai law and Kwan was charged with breaching the country’s Arms Control Act.