Macau-Shanghai, 72 hours in Shanghai then flight to HK, am I eligible for 72hours free transit?

According to the rules, you can enjoy the 72-hour policy, since Macau and HK are two different regions. However, the two places are close to each other and the officer may regard your trip as a round trip. So you may get rejected to entry with a permit.

In order to make sure, you can suggested to confirm this issue this the Shanghai airport directly.