Transfer baggage re-check at Shanghai Pudong Airport

I am arriving from Europe and will have a connection flight to HK with Hong Kong Airlines. The booking confirmation says: "For flight transfers in SH, baggage cannot be checked through. Please collect your baggage on arrival and check-in again."

Does that mean I have to completely go out of the airport and check-in the same way like somebody who has only the flight to HK? or is there any special area for re-check in on international arrivals?