Oops... I missed a crucial part of your post. I wasn't aware that he actually went out and
proclaimed that he was single. I thought he simply denied it whenever the topic was brought up. In that case, I can understand why some fans feel so cheated. I mean, denying it is one thing, but to actually go out and announce that you're single when you're really not is a different thing altogether.
"Lau had acknowledged a relationship once before in the earlier 1980s, arousing the ire of his fans, enraging advertisers and causing problems for his girlfriend of the time."
http://english.people.com.cn/
So apparently, he did acknowledge having been in a relationship at one point, but things didn't pan out too nicely.
Totally agree with your last sentence, though. I've always taken rumors with a grain of salt, but this incident has certainly increased my suspicions. Stardom really does have its price. I can't imagine living life under a microscope.
Also, a bit off-topic, but you mentioned Jimmy Lin being in a similar situation as Andy. Was he also involved in an underground relationship?