Flying to Shanghai as destination

The rules are quite clear. You must arrange your flights so that you leave Shanghai to a third country (not Italy and not mainland China). For example, Italy-Shanghai-Hong Kong-Italy would work.

You can make your itinerary a bit more creative. For example, you can fly from Italy, regardless whether you are flying directly from Rome & Milan to Shanghai or via some convenient hubs like Dubai or Doha, but you should do it that one direction goes directly to Shanghai and your return flight from Hong Kong. You can easily reach Hong Kong from Shanghai by local flights that are cheaper or at least not more expensive than the price of the visa. So, one possible and eligible itinerary could look like Rome - (Dubai) - Shanghai - Hong Kong - (Dubai) - Rome. With this option, you have 144 hours visa free transit in Shanghai and surrounding provinces.

OP here:

Does it also work if I get a return ticket from Italy to Shanghai and plan a trip from Shanghai to let's say Macau so my flying itinerary would be:

Rome - (layover somewhere) - Shanghai - Macau - Shanghai - (layover somewhere) - Rome

with the Rome - Shanghai - Rome being a return ticket booked at once
And Shanghai - Macau - Shanghai also being a return ticket booked at once?

That's it :)! Basically, it is not important the nature of your tickets. This is not the subject that you will be asked, but of course, you will have to have your flight tickets in hard copy. The only detail that matters, beside your eligible citizenship, is your two routes:

Rome - (layover somewhere) - Shanghai - Macau
Macau - Shanghai - (layover somewhere) - Rome

They are eligible and you are eligible for 144 hours visa free transit in Shanghai area twice.