Flying from Macau to Shanghai then on to Hong Kong

Yes, this is perfectly allowed. In reality, having a separate tickets was never a problem and this option was always allowed. All you need to do is to have your tickets in hard copy (e-ticket printouts). By the way, your itinerary is eligible for 144 hour visa free transit because 72 hour visa free transit was replaced in Shanghai a couple of years ago by more generous 144 hour visa free transit. In other words, you are allowed to stay in Shanghai area for up to 144 hours visa free and you don't need to present any kind of itinerary. It is advisable though that you have at least booked your first accommodation because there are several questions in the blue form that you will fill out upon your arrival in Shanghai about the accommodation details.