What is the easiest way to get to the Macau Tower from Zhuhai?

I suggest you cross the immigration border at Zhuhai Gongbei to M Gongbei, where you can easily find bus no. 18 or 9A. Either of them can take you to the Sightseeing Tower directly.

You are right. The main attractions there are not far from each other. So you walk to visit many of them. Sometimes, the free shuttle buses of Ventetian Resort or Lisboa Casino help a lot for transfer.