Indonesian Passport from Macau to Zhuhai with VOA, then to Shenzhen and return to Macau for 3 days

You are definitely eligible to travel to Zhuhai by obtaining a 3 days Zhuhai visa on arrival at designated border crossings, for example Gongbei. You are advised to reach the border crossing in the earlier morning hours.

Now, when you are over with a visit to Zhuhai, you cannot travel directly by ferry or in some other way to Shenzhen, but you have to return from Zhuhai back to Macau or take a ferry from Zhuhai to Hong Kong and then to enter Shenzhen by obtaining a 5 days Shenzhen visa on arrival at designated border crossings.

In the same way, you cannot travel directly from Shenzhen to Zhuhai, but this has to be done via Hong Kong or Macau.