Chinese names are made up of "characters", not "words", and pinyin is a way to represent the pronunciation of those characters. Romanized names from Mainland China are written in such a way that the Family name is separated from the Given name by a space. The given name, no matter how many characters it's made up of, is spelled as one unit. The reason is that in the PRC, there are officially approved rules and guidelines regarding the writing of pinyin. See http://www.pinyin.info/readings/zyg/rules.html
Scroll down to section 2.3 for an answer to your specific question.
There are no such guidelines for Hong Kong, so people tend to transliterate in the most convenient and logical way to them. In most cases, this would be one character at a time.
This is a convention for orthography, and has little to do with culture.
Also understand that whether you write:
Chan Tai Man
Chen Dawen, or a myriad of other spellings, they are but different ways to represent the sounds of the same Chinese name 陳大文.