You can take Bus to Gongbei Boarder and proceed to Zhuhai, to Guangzhou, better take long distance bus from Zhuhai, to Shenzhen, you can either take train or bus from Guangzhou, from Shenzhen back to Macau, the best way is taking direct ferry to Zhuhai and then take the free shuttle bus to the boarder and pass the boarder to macau.

Can you please advise which is the better route:-

1) From Macau - Zuhai -Guangzhou- Shenzhen back to Macau by ferry.
or
2) From Macau to Shenzhen by ferry - Guangzhou-Zuhai - Macau.

By the way Is there any mrt or high speed train service between Shenzhen and Guangzhou ?

The latter way is better, I think. There are high speed train between Shenzhen and Guangzhou, you can take the train.