Hong Kong - Shen Zhen - Macau with VOA at Lowu station

Hi, I am planning to travel HK - SZ - Macau - HK and get VOA at Lowu station.
If I get VOA at Lowu, should I enter back to Lowu? Or can I go to Macau directly( by Turbo jet) from Shen Zheng without passing Lowu?
Someone said we could pass only the same boarder with VOA which is Lowu in this case.