The location is still visible on Streetview but it appears that CAS moved out of there a while back (along with the Electrical and Mechanical Service Dept who had workshops next door) over to West Kowloon/Yau Ma Tei area to free up the site for redevelopment. Anyway, back in 1996 it was still their HQ location and I guess the film makers convinced them to let some filming take place for a few days as it stood in for the police HQ. The picture below shows the main building at the site that fronts onto Caroline Hill Road near the junction with Leighton Road. As you can see, the location has a rather large courtyard/car park area (though not as big as the EMSD next door) making it ideal as a stand-in for a Police Station.
Sadly, I couldn't recognise the place from the above picture and it took a brief glimpse in a very quick scene when the killer is driving away in his BMW to finally locate it. Look in the distance and you can see some writing on the building at the back. It's the old Po Leung Kuk Pershing Tsang Primary School on Link Road.
The school has since merged with another one and become the PLK Gold and Silver Exchange Society Pershing Tsang Primary School and moved up Link Road (i.e. to the left) to another building we have encountered before (we saw it in Double Impact all those years ago). The old school building has become the PLK Kwok Law Chun Children Services Building (lots of PLK related stuff here because the HQ (see here in Game of Death) is just off screen to the right.
Again, no Streetview access inside the complex (not helpful Google pictures from anyone), but this shot shows the same buildings (the one behind is another PLK related one) from Caroline Hill Road.