I've never stayed on-site, but I've gone a couple times. If you're looking to save money or just want to explore of HK, there's plenty of nice hotels in other parts of Hong Kong, for less cost than the disney hotels. It's very easy and affordable to take the subway in and out. You will have to transfer at least once to the Disney line, if not more, but it's very easy and navigable. You might leave and wake up a little earlier than you might if you were on site, but it's maybe an hour, at most.
Personally, I think I'd rather stay in Downtown Hong Kong if I plan on doing anything besides Disney on a multi-day stay, but I might consider on-site if I was *only* there for 2 days and *only* doing Disney.
I found the city a lot more overwhelming and harder to find quiet places to "relax" in than the park, so I needed my hotel room closer to the city than the park, anyway. Good, quick western food (though quality Asian food was cheaper, I just didn't want it because I live in mainland China, and this trip was my first opportunity in awhile to enjoy it) was also just as expensive, if not more so, than in the parks!
On my first trip to HK, I actually scrapped some city plans, in favor of a second Disney day on my first trip because I was able to upgrade my ticket making it "cheaper" and didn't have to look as hard for food or deal with as many crowds, but the hotel being in the city was no burden to that.