Does Cebu Pacific have a transfer desk at HKIA?

Yes, you can use Skypier for a transfer to Macao. Don't worry! All passengers can take the ferry, regardless of the airlines.

Eventhough this specific airline doesn't have a transfer desk in HKIA? So, where do we go?

Yes, it's true. After landing, no need to go through the immigration. Just walk to Arrival Level, T1 and buy the ferry ticket at the Ferry Ticket Counter at Transit Area E2. There you also need to show your luggage tag receipt and they will help you handle the luggage. Afterwards, go to the ferry boarding entrance to scan your ticket and check the status of your luggage. Then hop on the ferry to Macao.