All very curious but not really - welcome to China!
The Macau SAR is pretty much surrounded by the city of Zhuhai, both are on the western side of the Pearl River Delta (so not overland to HKG in a couple of hours).
MFM is about 10 miles north of ZUH on the opposite side of the river mouth to HKG, so possibly similar weather on the western side.
A check of traffic at the time may reveal why CX831 diverted to ZHU rather than MFM. They prolly weren't the only flight looking for somewhere close to roost...
Crew hours was obviously the big reason that they simply couldn't depart after the weather cleared, and then getting Chinese customs/immigration to facilitate some assistance. Regional flights would have had fewer issues with crew hours.
Sure, getting a fresh crew across the delta is only about an hour trip on the fast cats, but if the weather was bad enough to close HKG, the ferries would probably have stopped running as well. Then clearing the passenger backlogs for them when they start again. You may well get a similar scenario when the bridge is finished: i.e. closing it when the weather gets too bad. It's the tropics, weather happens sometimes and you just have to wait it out.
ZUH is supposedly an international airport so no permanent immigration office there is surprising given the customs/immigration required to facilitate movements to/from Macau. The border people would have had less than no interest in going to the airport to assist - not my job, don't want to know (and that's the bosses) - so nothing would have happened until some official edict from way up above, and that can take quite a long time given how frightfully busy such important people like that are. If the minions don't have official authorisation or direct orders for an out-of-the-box situation, they will simply do nothing. Period.
ZUH hosts China's only official airshow bi-annually (in November, even no. years). Ironically, the government is looking at extending the new(ish) 72-hour stay visa to include Zhuhai primarily for airshow visitors. Zhuhai is in Guongdong province whose capital, Guangzhou (CAN), is one of the places allowed to issue the 72-hour visas.