In the interests of research I have visited the new cheese shop in Central, which is housed in Classified PR
It's in a slightly out-of-the-way location at the far end of Hollywood Road, but they have created a special humidity-controlled room for the cheese so that it does not dry out (although most people keep cheese in the fridge, this is not really ideal because the humidity is so low).
They have close links with Neals Yard Dairy, which is the best place in London to buy British cheese - they supply most of the cheese, and they also trained the staff at Classified PR. The range of cheeses is currently small but they have chosen well - for example there's Montgomery's Cheddar, Kirkham's Lancashire and Appleby's Cheshire, all of which are made by people who really care about their craft (no, not Kraft).
Prices are probably a little higher than elsewhere in Hong Kong, but considering that they look after the cheese so much better (and know more about it) I would have no hesitation in recommending it.