Are non-Western University PhD's really frowned upon? I am completing my master's by thesis this year at a small university in the West. I would really like to pursue my PhD (Maths/Stats) in Hong Kong, but I've been told by my supervisor and others that  a PhD from a non-Western country is looked down upon by employers. Especially in my desired industry (finance).

This doesn't really make sense to me because Hong Kong is obviously a very developed city, the language of instruction is English, and it's a big financial center. The universities I'd want to enter (University of Hong kong and Hong Kong University of Science and Technology) are also ranked in top 100.

Is my supervisor wrong here, or is this something I should seriously be considering?

I am particularly concerned about Hong Kong or Singapore employers, but also of ones based in Europe and Australasia.
All degrees have value somewhere. What you need to think about is where you want to work when you complete your studies. Obviously if your goal is to work in Asia or particularly in Hong Kong there should be no problems with a Hong Kong degree.

Another concern to consider is whether you will work in academia or industry. Sometimes academia needs to hire people whose degrees are recognized by the local government. Sometimes for political reasons one country will not recognize another country's degrees unless the university is transcendently elite. This forces the university to look elsewhere for talent.

In industry, they usually do not need to hire people with degrees from government recognized countries.