Flying Melbourne to Shanghai with Cathay Pacific.

Wendy, if so, you won’t qualify for the 144 hour free transit in Shanghai. You should apply for a visa in advance.

Why is this? We do not enter Hong Kong on the way.

According to your situation, you flight route is Melbourne - Hong Kong - Shanghai - Hong Kong.
For 144-Hour Visa-Free Transit, passengers should hold an onward ticket with a confirmed seat and date as well as a valid visa to a third country or region. The route HK - Shanghai - HK is not eligible because the passenger does not fly to a third country or region. Thus you don't qualify for 144-Hour Visa-Free Transit although they don't go through immigration in HK.