Hippias Major's authenticity is not beyond dispute. But for the sake of argument I assume here that it is the work of Plato. It is included in most editions of the dialogues.
The source of the proverb, 'All that is beautiful is difficult' or 'Beautiful things are difficult' (chalepa ta kala (Hippias Major, 304e) is not evident. It may have no identifiable author. Few proverbs do, now or then. Nor do I know what thought or idea it was meant to convey conversationally since I can't find another instance of its use outside the Platonic corpus itself; Plato uses it in identical wording in the Cratylus (384b - where the proverb is referred to as merely 'ancient' with no accreditation) and a version of it in the Republic (VI.497d). Examine it in these contexts. But give up on your question now? Well, let's press on a bit. We can work out what Socrates meant by it in Hippias Major even if he is almost certainly giving his own philosophical twist to a banal saying.
The sense of the proverb as Socrates cites it is contextual. Hippias thinks it quite easy to define beauty. He first defines beauty as a beautiful woman, next as gold, and lastly as the enjoyment of health and wealth, of honour, of length of life, and of magnficent burial by one's offspring.
Socrates has little difficulty in demolishing these definitions, but Socrates' own attempts at the definition of beauty, though more sophisticated, meet with no greater success:
After these definitions prove futile,
[Hippias] is ready to give up. Socrates then
suggests several additional definitions
of beauty: beauty might be appropriateness; it might be the useful; it might
be the beneficial; and finally beauty
might be the pleasures which come
through the eye and the ear. Hippias
is eager to accept each of these suggestions until Socrates points out the
shortcomings of each to his satisfaction. The dialogue ends with Hippias
advising Socrates to give up such worthless speculation and Socrates confessing that he is compelled inwardly to
search for what he does not know.
Socrates' suggestions, although far
superior to those of Hippias, also prove
to be unsuccessful in the dialogue, because they are beyond the ken of Hippias, who is unable either to give any
intelligent criticism or to evaluate the
criticism which Socrates supplies to his
own suggestions. Socrates' suggestions,
plus his own criticism, however, present a challenge to the reader, who
should attempt to evaluate the argument and to separate the chaff from
the wheat. (Robert George Hoerber and Estella Kyne, 'Plato's Hippias Major', The Classical Journal, Vol. 50, No. 4 (Jan., 1955), pp. 183-186: 183.)
The meaning of the proverb, as Socrates uses it, appears to be that the adequate definition of beauty is a difficult matter, beyond the power not merely of the dim and unphilosophical Hippias but of Socrates himself. In common currency it is unlikely to have carried any such philosophical import. Socrates seizes a common saying and puts it to his own use.
I have followed the standard practice of translating kalos and its derivatives as 'beautiful' and 'beauty' but kalos has a wider sense in Greek; it extends to the 'fine'. A Greek had no hesitation in describing political arrangements as kalos where, save in exceptional circumstances, no-one nowdays would be apt to characterise even their most favoured political system or laws as 'beautiful'.