Actually, if you take the ferry directly from Macau to the HK Airport, there is no need to clear immigration and enter HK once you get to the airport.

This is setup as a sterile transfer where you board a bonded bus once you arrive at the HK Airport ferry terminal (note: if you are flying on an airline that does not have uptream check-in in Macau, then this is where you check-in) and go directly to the transit area (airside). All you have to do is go through security before proceeding to your gate.