Correct, the Macanese have their own border controls too. I don’t believe there’s anywhere where you can clear immigration just once, unless you’re going straight to HKIA from Macau.I've booked my hotels and have decided to visit Macau whilst there as well (as I as in HK earlier this year) - so will be sleeping in both Macau and HK. I believe that I'll need to clear security/immigration for Macau as it's separately run to HK. I think there's a way you can do this by getting on a particular bus and only clearing immigration once on that day. This means that I'll need to clear immigration when entering Macau, then clear again when I transfer over to HK.
If travelling between Macau and HK, I still think the ferry is a better deal than the bus over the HZMB because it’s still an hour each way but you get to arrive/depart from the city centres instead of having to catch a bus out on the HK side.
