If you want a job in Europe or the US, you are far better off studying there than HK, however the fees and various other expenses may be a problem, and I notice you have previously studied in the US anyway. Your English language ability is good although the next thing that US/European employers will look for in your application is whether you have an appropriate work visa for the respective country you intend to work in. Nevertheless, there are always exceptions for exceptional people. In some countries, you may be granted a short term full time work permit as part of some post course training programme, provided its is at least a one year full time course, and if you impress the employer enough, then they may sponsor you for a proper work visa.
I am British and studied an MBA in HK (at CUHK), and lucky enough to have work visas for HK, much of Europe and the US (Green Card). At the moment I am in the US but always on the look out for opportunities, so I am aware of what to think about. My background is front office equity research, equity sales, buy and sell side, much of it for large investment banks which, from the impression I get in your post, is the career that you wish to pursue.
My general experience is that for your aspirations, most employers in the US/Europe will have not even heard of HKU or HKUST, or many other MBA study places abroad (again there are exceptions for the very well know universities). I have personally found that CUHK has a "slight" edge for being recognised abroad because it is considered more "Chinese" (for employers seeking a China background), and it is well known for its exchange student Mandarin study courses with international universities. The main advantage of my MBA was that it did have a lot of excellent Asia business content (as well as Western content), and this has proved to be hugely advantageous in various subsequent equity research assignments. Hence compared to many of your peers, a HK MBA is more likely to help you perform much better in your job, especially if its Asia related, which can then lead to an international placement and/or promotion, rather than initially get you a job abroad.
Your best bet is to play your strengths when looking at prospective job requirements. For example, an ability to converse in Mandarin is far more likely to land you a job in the US/Europe compared to obtaining an MBA from most places if the job requires some communication in that language. You should also consider seeking a job in HK where there may be an opportunity for an internal company transfer abroad (ie large international organisation). There are many other examples that can be cited.
There was a decent international student contingent on my own CUHK course, but I did notice the part time students were mostly locals (understandably). It is not true that there could limited class interaction on a HK MBA course - its quite the opposite in fact, and actively encouraged in many ways. I was always asking questions to challenge the lecturers and still passed with a high grade. The big difference was when asking questions to fellow Asian students while they made class presentations; its a culture thing, not liked at all, taken the wrong way, and if you disagree with something then you learn how to ask questions in a way that does not make the presenter uncomfortable. You have to experience it to believe it. Call it learning to adapt and understand an Asian culture environment vs Western attitudes, which is a very valuable business lesson. Your Asian background probably already gives you that skill set.
I expect some people may disagree with what I have said. This is only my own personal experience and I am sure that others have their own valuable perspectives.