Not an expert and haven't punted in HK often enough to have any personal expeience with law enforcement, so I'm happy for elaboration or correction.
I would avoid asking a streetwalker about prices on the street or threesomes. The former violates some law about soliciting, and the latter doesn't stay within the legal "one punter paying one girl", 141. The main illegal things that the police are after is someone (other than the girl) profiting off prostitution and girls working illegally. If one of those are the case, it's their problem, not yours.
This issue gets discussed from time to time when one of the major walk in buildings gets raided.
https://forum.141-161.com/viewthread.php?tid=101152
From those discussions, the police are mostly looking for illegal workers and/or evidence of organisations profiting off prostitution and are not going to care about the punters unless you do something to piss them off. I make sure I have ID at all times (not just punting...).
The places where you walk in and they bring you a selection of girls may well be breaking some laws. However, in my rather outdated experience, it tends to be set up such that I was paying the girl and she was renting the room.