"Reporting to the authorities is useless" is exactly what scammers hope people will believe.
The Hong Kong police anti-fraud squad has recovered large amount of cash taken in romance and other scams. What they and all other police and regulators DESPERATELY need are details of how money is sent to the scammers. Tracking the money is the best way to find the ones running these scams.
Report these crimes, but not as in "Hey police/regulator, I got scammed, get my money back or admit you are useless." Instead, provide as much information about contacts with the scammers (all websites, emails, phone numbers, chat accounts, etc.) copies of all correspondence, and (as mentioned above) as many details as possible about how and where you sent your money.