I agree that IF the LL has shown previous acts of dishonesty then why would you trust them but you cannot escape the fact that it is still illegal this part is pretty black and white, so at the end of everything it depends how law and rule abiding you are as a person which seems to be the part the OP is struggling with
To be honest, if I were a LL and my tenant told me they were going to leave me with no deposit, I would be pretty angry too, how much I'd show it would depend on how they told me but how is a LL supposed to react? just shrug and say yeah fair enough?
And for every tenant who wonders about the whole deposit thing, I suggest you add a clause to your next tenancy agreement where you will only honor it IF the LL is a nice guy/gal where they will let you do what is in your interests only otherwise you will have this problem again and again and again (unless you buy that is).
On another note....
I was told by an estate agent that it isn't normal for tenants to allow the LL to show their flat for viewing whilst living there and how many LLs won't even ask so if your LL has asked you, it might be because they think you are nice or that because your not from HK, they are hoping you won't think anything different.