Answered by ZUPAN
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Dec. 14, 2019 12:36
Of course there are ferries between the mentioned places and those ferries are used by hundreds on daily basis.
You are also allowed to use those ferries and to travel exactly on the mentioned itinerary, but you will have to obtain a Shenzhen VOA upon arrival from Macau to Shenzhen Shekou port. Please, keep in mind the opening hours of Shenzhen Shekou VOA office: 9:00 - 13:00 & 14:30 - 17:00. You have very convenient ferries from Macau to Shenzhen Shekou provided by TurboJet and probably by Xunlong ferries also.
After you have explored Shenzhen, you can travel to Hong Kong by any mean of transport and not only by ferry. You can use a high speed train as well.
Please, just keep in mind that Shenzhen VOA limits you to just Shenzhen city limits and you are not allowed to travel to other parts of Guangdong province.
Also, please do not confuse this real visa with any visa free transit scheme that is impossible to use on the route you have presented.