Sky pier at hkia

If I should encounter a problem for any reason with my Chinese visa at Chinese immigration at Skypier at HKIA, can I retrieve my luggage?
or can I just change my destination and instead of taking a ferry to Shekou in China, can I just take a ferry to Macau, where I definitely have no visa issues, as I can enter macau without a visa as I am a British citizen.
very many thanks indeed! cheryl