If the converter isn't strong enough to run whatever is plugged in it will break the fuse in the converter, not blow up what's plugged in. Then it's like a dollar for three new fuses. New fuses won't let you use whatever blew up the old one but at least you'll be able to fix the converter up for use with anything else.

From a practical, completely layperson non-scientific view, I plugged a small alarm clock in the socket when I visited HK. Within a few minutes I smelled 'burning' and the thing was overheated. Then it sparked and died x_X

Computers never did this, and my camera battery charger was fine. So I blame it on either cheap or very small appliances not being able to survive the adapter. I also don't know whether a surge protector would help either.
Converters change the voltage of whateveris plugged in so you can plug an american 110v whatever into a 220v or 240v depending on where you are. An adapter let's you plug something straight into the wall. Sounds like you were just using an adapter. Things like laptops and camera chargers are usually dual voltage so they just need a converter. Alarm clocks usually aren't dual voltage so you need a converter.