The short version: living off campus won't save you money (maybe a few hundred bucks a month if you can find a roommate, maybe no savings or even "negative savings" if you can't), it WILL introduce a lot of inconvenience into your life, but it could provide an interesting cultural experience.
The long version:
1) HK and especially UST are not like the US/UK where the areas around campuses are lively and have all sorts of bars, coffeeshops, bookstores, and the like. They are fairly isolated and the campus is a quiet self-contained world.
2) As a result of #1, it's very hard to find off-campus housing within walking distance even if you're a professor. UST is in a desirable location right next to the ocean --- on a student budget of $2800, no chance. So you will be taking a minibus to and from campus, which will run you $80-$160 a month.
3) The dorm includes all sorts of amenities and necessities which you're not gonna get on your own, like broadband internet access, electricity/water/gas, local phone service, cheaper usage of washing machines, kitchens with big fridges and real freezers, janitorial service for bathrooms and kitchens, a television, a security guard, etc. If you're off campus, you have to pay for those on your own or deal with the inconvenience of having to do many chores yourself, which means your actual budget for rent alone is closer to around $2000 and you lose free time for studying or relaxing.
4) On $2000/month, you will not be living in an apartment or a western house. You'll be living in a 200-square foot place in an HK-style village, probably one of the more run-down ones. I think it's an interesting experience to live in a place like this, but you might disagree. I doubt that there would be many English-speakers in your village, for one thing. You will feel doubly socially isolated if you cannot interact with your neighbors and at the same time you're missing out on all the on-campus bonding AKA networking opportunities.
5) Also don't think that cuz you're in an immersion environment with no English-speakers your Chinese is gonna get much better, especially if you're starting from scratch. You'll be busy with your MBA studies all the time, and you'd have a lot more opportunities to learn Chinese on campus where there are bilingual locals who would be willing to teach you.