In fact it really is that simple:
HK employment visa comes strings attached: you are bound to your employer.
You can create a side business (sole proprietorship or limited company, I did the second), but then you will need to get an extension for your visa to actually work for that new company as a side business.
If you loose your current job at your current company, or if your HK visa is cancelled (because you work in China not in HK), then you loose the right to work in Hong Kong for any company (that is, of course, unless you have a PR, but your question shows that you don't).
If you change job to another company, you will have to ask again this new company permission to join in your side business, and again submit the application to the Immd.
The process by itself is not really hard (I made another post to explain what I did on this forum) right here: https://geoexpat.com/forum/54/thread346460.html
The application took about 2.5 weeks in my case and was pretty straightforward (once you get the paperwork ready that is).
Definitely, if you want more info or need expertise, the HK Visa Geeza is the goto person. We used his service for my initial visa (and some follow up consultancy), I highly recommend him.