HEx had that. Additional security was indeed a barrier, but also how far in advance it was necessary to do it (plus the additional risk of misrouteing), and also the move to trolley luggage which is really no effort to pull around also limited its effectiveness - who still lugs around large non-wheeled suitcases? I haven't seen one for years.
ISTR having done it once at the Kuala Lumpur version years ago, which also no longer exists.
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Missed this - I stand corrected - I thought it was no longer available. I have used it years ago.
Also you can check your luggage in at the station in Hong Kong and I have done this a number of times, most recently last month. A very nice express service. Also not really non-stop, running: Asiaworld Expo - Airport - Tsing Yi - Kowloon - Hong Kong. But no real commuter traffic though.