I personally collect them both!
Looking for a Tux upgrade myself.
I think the China/HK ponies with the most distinct variance are Cuddles & TAF Scoops. The rest of them are not very different just one appears brighter than the other.
Often the distribution is regional, too. I think that for example recently HK Cherry Treats MOC sold higher than she might have done if she was the Chinese version because for some reason the HK one seems to discolour more quickly than the CHinese version (without the forelock). But, here in the UK as far as I know, all Cherry Treats released were made in China. Certainly I've not seen one yet that wasn't. And mine from childhood is still very white. So things like that can influence the amount people pay for HK/China.
I don't go looking for HK/China variations in sets unless I stumble on them accidentally, but the Starlight Babies exist in both versions too. And NC. I have only just got the HK Mischief from Ponycon and haven't had a chance to compare her with my other four yet, but the fact there are distinct variations between the three Made in China ones I have and the fact that at a glance the HK one doesn't seem as drastically different makes me think that a lot of the colour variation comes from batch and not necessarily where they are made.
Just, China made ponies seem more common in the later years in Europe.