"She accomplished so much as an actor as well as a musician. But in Hong Kong, she was viewed as a singer first," Leung said, explaining the emphasis on Mui's stage career in the film.

Stanley Kwan Kam-pang, who gave Mui her first stellar role in Rouge (1988), visited the sets during the filming of Anita. In Rouge, Mui played the ghost of a courtesan who finds love with a living human being and then loses it — an idea that seemed to mirror the series of failed relationships in Mui's own life. Mui was named best actress at both the Hong Kong Film Awards and Golden Horse Awards for the role.

"He (Kwan) told me a lot of stories," Wong said. "And one thing I remember the most was that he told me: 'Don't imitate Anita. Just feel her when you act.'"