I am flying with royal brunei to Hong Kong.

Yes, you can take the ferry at SkyPier to Shekou Port. Before you board the plane, you may request the airline whether they can provide sea tag through baggage service. If yes, you don't need to collect your luggage. if not, you have to collect your luggage first.

Whether you could get your boarding pass at Shekou Port depends on the airline you take. If the airline opens the pre-check-in service in Shekou Port, you can get the boarding pass in advance.