how many ferry company from HKIA to Shekou?

You cannot check in through from Jakarta Airport.
Do not worry about what kind of ferry you need to take, following the timetable of them is OK. Between the two places, only one ferry is in service per day. The Turbojet and Chukong operate from Shekou Port to Hong Kong - Macau Ferry Terminal.
If you take the ferry, your luggage can be delivered to your destination city directly.