I've watched dozens of videos from the protests, and while some people are wearing masks, many do not, and of those that do, many routinely remove them - e.g. to chant, or wear them only on part of the face, or even move them to the neck or forehead for extended times. A lot of them frequently readjust them with their hands - without washing the hands of course, which kinda defeats the whole purpose. Regular masks aren't super-efficient at long-time mass close contact anyway - they are lowering risk when you are walking on the street passing another person, with contact time measuring in seconds, but I don't think they would provide significant defense when staying in close contact for hours, especially while moving around, running, chanting, etc. Even less goes for homemade cloth masks, which many are wearing, which provide even less protection than surgical ones.

Then why were laws put into place to shut down everything if it's okay to participate in large-scale group activities as long as you're wearing a mask? And more importantly, why were Americans being told specifically not to wear masks during the opening months of the pandemic?

It's worth noting that Hong Kong has very few coronavirus cases, and most/all the current known cases are from travelers who are being closely monitored.

The risk there is much thus lower than places that have already have tens of thousands of cases, although it also depends on how long the protests continue and whether an outbreak can be caught early through testing.