Taiwan Passport with Malaysia IC to Hong Kong & China

You need to apply for a Hong Kong entry permit and a China Travel Document at the same time.

Chinese residents of Taiwan living overseas who wish to enter the HKSAR for transit, visit, employment, training, study, residence as dependants or as entrants under the Capital Investment Entrant Scheme or the Quality Migrant Admission Scheme should apply for an appropriate entry permit.

For your trip to Shenzhen and Guangzhou, if you have a Entry Permit of Taiwan Residents to the Mainland China, you just need to apply for a visa annotation through China embassy/consulate in Malaysia, otherwise, you have to apply for a China Travel Document rather than China visa because you hold a Taiwan passport.