Land border entry/exit through Hong Kong visa

I have a plan to visit Hong Kong - China - Macau at one trip.

Air travel to Hong Kong - Land/sea border cross from Hong Kong to China (Shenzhen) - Land/sea border cross from China (Zhuhai) to Macau - Land/sea border cross from Macau to Hong Kong - Air travel out from Hong Kong

The question is which type of Hong Kong visa allow me to do land/sea border crossing as I notice that the Evisa has a note in CAPITAL LETTER saying "ENTRY MUST BE MADE AT THE HONG KONG INTERNATIONAL AIRPORT ONLY"