Going to Guangzhou for 2 days from Hong Kong?

You did not mention your citizenship, but I assume that your passport is one of those eligible citizenship.

Your itinerary is partly eligible, but the detail with the train is not. You will have to use a ferry from Shekou port in Shenzhen to Macau. As far as you know, the train stops in Zhuhai and you cross the border on foot. This is not eligible. It is important to use the transport that you can buy your ticket in advance. With ferry, you can buy Shekou to Macau ticket in advance through TurboJet ferry website. Also, you will have to print out that ticket and have it with you even before the check-in in Hong Kong. Also, you will have to take exactly that ferry you have bought your ticket for.

In reality, this is quite easy to accomplish with just a bit of planning. Also, you can stay in entire Guangdong province not for 72, but 144 hours. 72 hours were replaces by more generous 144 hours years ago. In the end, please, use correct terminology because it is not 144 hour visa, but 144 hour visa free transit. In other words, there is no visa at all.

I have done that. I flew from Hongkong to Guangzhou, took the train to Zhuhai and crossed the border to Macau on foot, all on a 144h visa.
No one stopped me or said anything. Does that mean I might get in trouble next time I go to China?

Dave, it is unbelievable! Would you mind telling me how can you get the permit of the 144-h visa free transit without the onward ticket to Macau? Anyway, since you have successfully crossed the border with the permit, don't worry, there will be nothing affecting your future visit to China.