The butter is the whole point and also the whole problem. A cha chaan teng slab is usually 10g, sometimes 15g at the generous places, and butter is 7.2 calories per gram. That means the slab is 75 to 110 calories with zero protein and zero carbs. It is the easiest calorie you will ever eat because it melts into the bun and you barely notice it is there.
A bo lo yau plus a hot milk tea is the classic afternoon tea set, and it lands at about 500 calories. That is a quarter of a normal adult's day in a snack that takes 5 minutes to eat. Compare it to a bowl of century egg congee at 260 calories, which will keep you full for three hours. The bun set will not.
Not all bo lo yau are equal. The famous places in Mong Kok and Sai Wan use bigger 100g buns and thicker butter, so those push 450 to 480 calories. A basic bakery bun with a thin slice is closer to 350. The tell is how much butter is visible when they bring it out. If you can see a yellow slab thicker than a HK$10 coin, assume the high end.