To the OP:
Speaking as someone who lives in the NT, and who rides some here (bike share bikes) but spends a lot of time running; and as someone who back in the US enjoyed road riding quite a bit, some thoughts:
-Biggest issue for road riding in Hong Kong is just that there isn't that much Hong Kong. It's small. If you want to go out and ride 80km or so it's hard not to do it w/a lot of repeating roads, out-and-backs, etc. (Also why I don't understand people buying ferraris and the like here).
-Yes, the NT has a lot of bike paths. You can ride fast on them when they're not busy. When they are, fughedaboutit.
-Bike storage is a thing. Your bike can live someplace other than where you live, if you don't want it crowding up your apartment and you don't want to ride around you own neighborhood anyway. In related news, sometimes you'll see people on the train who are wearing bike kits and helmets but don't have a bike with them.
-My understanding is that there is good mountain biking on Lantau. I haven't seen it but I do remember reading about it.
-For NT mountain biking, it doesn't look good - from what I see. There are tons of trails but many have lots and lots of steps and are super steep. Also, someone in charge of "mountain biking" in Hong Kong seems to not know what mountain biking is. There are routes labeled as mountain biking trails but they're paved and wide enough for a car. Not saying better NT mountain bikign doesn't exist but I've seen very little, and I've been on a lot of NT trails.
-Air pollution aside (and it's an issue), HK is a great place to be an endurance athlete, if you're willing to adjust your events and training to the conditions here. Just, don't expect to be able to replicate what you're doing in London. (not that I'm some big London expert, I should note).
best of luck!