Moddsey found this description of the Police Station:
1900 PWD Annual Report
A new Police Station was built on a site selected above the Cattle Depot on the road leading to Pokfulam and completed on 1 October 1900.
The previous Police Station in Kennedy Town (see http://gwulo.com/node/17695) had been converted for use as a hospital.
The marker location is a guess. I haven't seen it marked on any maps yet - if you know where it was, please let us know. [UPDATED: Marker moved to correct position based on comments below.]