Does United Airlines transfer luggage at HKIA to Sky pier ferry for Shenzhen Shekou?

Yes, you don't need to collect the luggage and then go to take the ferry from the Skypier.
Upon landing, go straight the ticket counter to buy the ferry tickets and leave the information about your baggage. Then take the free shuttle bus to the pier, and your luggage will be transferred to the ferry terminal directly. So don't worry. :)