When you access megaupload.com from Hong Kong, you will get
"This service is temporarily not available from your service area."
"This service is temporarily not available from your service area."
However, in Hong Kong you just pay local taxes on local income (8% I believe), and no taxes on overseas income (although if you're a US citizen it becomes a lot more complex, with Controlled Foreign Corporation rules, etc.).
It's much more likely that he doesn't want to face local legal issues in Hong Kong. i.e. "never sell no crack where you rest at, I don't care if they want an ounce, tell em: bounce".