yes, you need a multiple-entry visa to Mainland China (Shenzhen, Guangzhou, Shenzhen), according to your itinerary, you will enter Mainland China for three times. You don't need a visa to Macau or Hong Kong, Malaysia passport holders don't need a visa to Hk for 90 days at most, they also don't need a visa to Macau for 30 days at most, you just need to apply for a multiple-entry China visa.