Malaysian going Shenzhen directly needs VISA? What about via Macao then Shenzhen within a week?

I understand if I were to go Shenzhen direct entry requires one. If I go Macao and then Shenzhen within a week? Do I need one from Macao to Shenzhen holding Malaysian passport? What about flying directly through Hong Kong then to Shenzhen as I know directly Hong Kong will not require application.

Thank you in advance for your reply.