Technically, they don’t. They use English nicknames, their legal names are Chinese characters.
Pre Handover, it was a political stance of how to interact with the colonial British
if you used an English nickname, you ‘went along to get along’
If you used the initials of your Chinese name (so TS Wong) you were anti-colonial, but not pro Beijing
If you used your full Chinese name, (Ho Sin Hung) you were anti-colonial and pro-Beijing
You could see political shifts in names. The first post-handover lead (Tung Chee-Hwa) had been CH Tung until he moved into the pro Beijing camp
A prominent pro Beijing politician (Tsang Yok Sing) insisted on being referred to as such in newspaper, even though everyone knew that he used the name Jasper in day to day life and with friends and family. It was only when British rule was a distant memory that he started being referred to as Jasper in print.
Some other fun facts. For girls, flower and month names are popular/ common. This dates back to when nuns in schools would assign English names at the start of school - going round the class with ‘April, May, June, Iris, Daisy’ etc
Raymond is a popular mans name as it sounds good in Cantonese. Richard is very uncommon as it sounds bad in Cantonese (homonym for ‘limp penis’…)