is there a ferry service between Macau and Zhongshan

No, there is no ferry service from Macao to Zhongshan, so you are suggested to take a bus.

Take a bus to Gongbei Border, passing the immigration, you will reach Zhuhai. Then walk to Gongbei Bus Station, where you can take the direct buses to Zhongshan. From 08:00 to 21:30, nearly every 30 mins, there is a bus available. The bus fare is CNY28.