Getting a Z visa in Hong Kong

Hello, I'm currently working in Jiangsu province under an M type and leaving the country every 90 days. I am paying taxes and have health insurance, and the plan is for me to get a z type, but I hear that it's required to return to your home country to get this? Even if you have all the right forms completed. Is this true? It seems to be pretty new. Just want to get it confirmed before I put in all the effort. Are there any agencies that could work around it if this is the case?