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Let's take the questions one by one, but you may want to skip to my answer to question 5.
You should always check that this advice is still applicable shortly before flying.
I think that HK airport probably can do it (they can transfer bags to mainland ferries without you going through immigration or customs -- even if they don't know in advance you're getting the ferry) so I can't see why they can't transfer between two different flights on different tickets. I'm guessing it'll come down to your check-in agent being able to do it.
On a good day this is enough time to make the connection, any number of delays (on the flight, at immigration, with baggage, etc) could stack up to make it un-doable. Personally, if you're coming all that way and you need to get to Beijing with your bag I'd take the longer connection (also see my last answer).
From the same link as above:
Visitors are required to have adequate funds to cover the duration of their stay without working and, unless in transit to the Mainland of China or the Macao Special Administrative Region, to hold onward or return tickets.
On the leg to Bangkok you may be asked why you're exiting and rechecking the bag, your onward ticket should be enough and it's unlikely it'll be a problem. You may get pulled for an extra interview and in this case, depending on the number of people waiting and the number of staff available, you can be waiting a while (an hour or more).
On the way back they may ask you to show onward travel out of Hong Kong and/or sufficient funds/accommodation for your stay. Or they may not.
And remember, the immigration staff also have the absolute right to refuse entry.
Generally you'll be OK, the worst that'll happen is the extended interview -- but it's difficult to tell in advance and depends on a lot of factors.
And so to the last question, "Any practical problems ..."
You have a few options. Since it's all Star Alliance it should be possible to book this as one journey with the stopover. Perhaps not on-line but you can phone the booking line (check here) they can help. Sadly because of the oddities of airline pricing you may not get as good a price as your current one (or you may get much better). Also travel agents may be able to book this as one flight for you.
Your best online bet is to try the multi-city booking tool on Cathay, doing that I can book the whole thing as one ticket. Although on different airlines and probably more expensive.
Another alternatives? Spend a few days in HK in each direction to give yourself buffer.