Yes, there ARE SIDE EFFECTS. It doesn't matter where the vaccine has been administered, the exact location of the vaccine site is not important, your child can still develop a rare bone infection that's very hard to detect and treat and it always leaves scars such as arthritis, bone deformities, etc. Some of these deformities vanish into adulthood, but in some cases they don't. The treatment involves months of anti-tuberculosis antibiotics (sometimes even years!) and in some cases surgery and months of hospitalization. The infection I'm talking about is called osteomyelitis (Google it up and read scientific papers talking about this. I'm not going to give my son the BCG vaccine. I'd rather return to Europe than risk turning him into a child with disabilities. It's also not more effective to get this vaccine as a baby or as an adult. You might still get the disease. The pulmonary (lungs) form of the disease is very likely to be caught even with immunization through BCG vaccine. It is more likely to get osteomyelitis through the vaccine as a baby than as an older child. The efficiency of the BCG vaccine against military and meningitis TB is only 70-80% which is not enough to outweigh the risks to health of small children. That is why in the developed world, this vaccine is NOT given at birth or in early childhood. Please do your research!
My advice: Don't put your child into daycare (it's anyway totally rubbish in HK) and vaccinate when he's school age.