if we have 4N5D for both Macau and ZhuHai and wish to spend a night in Zhuhai,what's the advice?

Two days are enough for visiting almost all the places in Macau, so I advise you to spend the other three days in Zhuhai or even Guangzhou. From Guangzhou to Zhuhai, it will cost you about 1 hours, so it is very convenient.
You can spend two days in Macau and two days in Zhuhai.