According to Microsoft Online Services privacy notice, Where is my data?
Microsoft has a regionalized datacenter strategy. The customer’s
country or region, which the customer’s administrator inputs during
the initial setup of the services, determines the primary storage
location for that customer’s data.
It is not possible to change the tenant location (as well as its name) after the initial setup. It is mentioned at sign-up that the country is locked to determine the services you can use, the billing currency and the closest datacenter.
You have chosen correctly, since Hong Kong is listed in Australian region locations Microsoft has elected to disclose to the general public. For detailed information, explore interactive datacentermap.
However, that is not the whole story. For example, Microsoft uses DNS geolocation for picking up the nearest datacenter to an user travelling abroad. While the data storage maintains in the original region, some caching occurs during that. It is also likely that new services at first exists in US datacenters only, e.g. Yammer has been hosted globally as of May 2015, now covered by the O365 Trust Center.
In most cases I wouldn't worry: it is a mutual benefit to have the most suitable and fastest connection available. Microsoft has own interconnecting networks and way more experience in maintaining global datacenters than most of its customers have.