He have to apply for a HK Exit and Entry Permit from the local public security bureau actually.

If my brother will stay in hong kong for a few days, then immediately fly to Beijing, does he still need an entry exit permit? isn't this the in transit exception to the requirement for a entry exit?

yes, he still need an entry permit to Hong Kong. transit is not the meaning as your desctibed. He live in Zhuhai, why he has to transit Hong Kong to Beijing. He can directly go to Beijing from Zhuhai. If he transit Hong Kong to a foreign country, he is exempt from an entry permit to Hong Kong for up to 7 days.