I think a lot of it depends on your own expectations and previous experiences; for example I am from Melbourne (but have also lived in Sydney) but have also lived in UK and Singapore before HK and also travelled a fair bit in Asia -which from your previous post it sounds like you have also - so have found it relatively easy to adjust, particularly because i have found it very easy to meet some lovely people with kids of similar ages who have been very welcoming.
Also it is so easy to get most western things here, if you fancy a little bit of 'home' it is relatively easy to come by. But the main things i would say have been:
1.lack of grass! Even the parks don't have any; one of the reasons we wanted to live by the beach was so the kids had some open, non concrete space to run around!
2. crowds/no of people - i actually don't mind this at all but it can get quite wearing, especially if you are trying to get anywhere with 2 small children!
3. Pollution - this was the hardest for me. It has been good most of the summer but the last week or so has been bad again. We love to have windows open and I'm a runner so have found this really hard. Also do worry about how it will affect the kids.
but overall it has been pretty easy, there are some really positive things about it, please PM me if you have any more questions