The Intended Point:
We've mentioned before that The Dark Knight is an allegory for everything about the War on Terror, and this sequence is undoubtedly the most transparent attempt by Christopher Nolan to draw a parallel between Batman and George Bush (OK, maybe it's second after the "We have to tap every citizen's phone for their own safety" thing). Swooping into Hong Kong and dragging Lau back to Gotham to be interrogated is supposed to mimic the CIA's controversial policy of forcibly extraditing citizens from foreign countries and dropping them at Guantanamo, while dressed like bats.
How It Messes Up the Plot:
Some of you are already thinking, "What? Where the hell are you getting this Bush stuff from? Why can't it just be a cool scene?" But stop and think about how the whole sequence sticks out like a sore thumb. First, how often do you even see Batman leaving Gotham, in any film incarnation? This is Batman, not Mission: Impossible. Spectacular globetrotting raid missions isn't what Batman does.
Somebody get CBS on the horn!
But more importantly, taking Batman out of the country creates a bunch of weird inconsistencies. For example, to set up the whole thing, there's a scene where Gordon and Harvey Dent talk about how Batman could retrieve Lau from Hong Kong since he's "under no one's jurisdiction" (and the Joker says pretty much the same thing to the mobsters). But why would they even assume that Batman has the resources to pull that off? They don't know he's a billionaire.
Think about the strings that would have to get pulled, not just to perform that elaborate kidnapping under the noses of all of this guy's armed guards (in his own building, in his home country), but to then get out of the country after. We're talking about escaping who knows how many police waiting on the ground at every nearby airport and/or all of the jet fighters that Hong Kong would use to intercept the slow-flying plane that just took one of their citizens hostage. It's the kind of operation that very few governments could pull off, yet Dent and Gordon are saying, "Yeah, our local costumed vigilante could do it for us."
This also means that you have to think of a very convincing alibi for Bruce Wayne -- by the way, "He absconded with the entire Russian ballet" isn't one, because there's an entire Russian ballet that knows it isn't true.
"Bruce is the old British dude, right?"