I was just wondering if HDA supports this feature.

Say that I put several HDAs into GameEngine. Can HDA read other HDAs's information in the scene?

Like of the other HDAs\ of other HDAs\ that used by the other HDAs, and use that info as source of input.

If you pass one HDA into another HDA as an input and set it to HDA type, not unity mesh, I believe you should be able to read its parameters inside Houdini, though I haven't tried it personally yet.