No, the GFW doesn't exist in HK (yet).

GFW-compatible fallbacks are worth worrying about in HK, though, because in normal times there is a massive amount of cross-border travel between HK and SZ. Combine that with grey market HK phones being smuggled onto the mainland to avoid tax, and it's a pretty good bet that any phone destined for HK will makes its way across the border at some point.

If you roam on the mainland with a HK SIM you actually hop the GFW automatically, but most people swap SIMs at the border so that isn't reliable.