HONG KONG—Hong Kong police on Wednesday arrested four leaders of the group that organized the city’s annual Tiananmen Square commemorations after they refused to cooperate in a national security investigation, the group said. The Hong Kong Alliance in Support of Patriotic Democratic Movements of China had openly challenged the enforcement of a 14-month-old national security law, saying police were arbitrarily labeling pro-democracy organizations as foreign agents. Chow Hang-tung, one of the four arrested and a vice-chair of the alliance, began a series of posts on Facebook shortly before 7 a.m., starting with two Facebook livestreams during which she says that some people have been ringing the doorbell. Chow, a lawyer, appears to be in her office, and muffled shouting could be heard in the background. “The worst thing about being arrested is that I’ve not changed into a new set of clothes or brushed my teeth, will my breath overwhelm …