Rather than food, climate, healthcare, and people, which others have covered, I'll mention some issues of bureaucracy.
According to the fine print, if you wanted to leave the MM2H program and withdraw your "deposit" then you needed to visit Malaysia to do that. In these times of more difficult travel that might be an issue for some. It's not something you can one day decide to walk away from and just ask them to send your money back.
And...without wanting to take the discussion down too gloomy a path, but perhaps a consideration for those of normal retirement age: what happens if you pass away and want to leave that money to your kids or whatever? It's probably going to be a non-trivial process to get that money unlocked, at least compared with HK where the procedures are a little less bureaucratic.
Also, moving forward tax may become an issue. Previously, income from outside Malaysia was not taxable while you were on the MM2H visa. But the world is changing rapidly in this regard and that may not be true in the future...especially if the program returns in a new guise, I'd be very careful to study the new rules in this regard.
One pro of HK is the extremely simple tax system, whereas in Malaysia things are in general much more complicated. I was told by a tax lawyer several years ago, for example, if you sell a property in Malaysia (an event for which the government withhold tax and you need to submit a tax return to try and offset any costs against any gains and claim all or part of the withheld tax back) you are then supposedly commited to submit a tax return for life, even if you leave the country.
I can attest (since I received a letter from HSBC a few weeks ago) if you hold a bank account in Malaysia, that bank will report you into CRS as a tax resident of Malaysia. What exactly this means for someone who hasn't stepped foot in the country for a decade like me I don't know.
Of course, there's no guarantee things will stay simple in HK forever. Here too, it could become more complicated, especially if HK tax legislation starts to align with that on the mainland.