Direct from airport is the best:
You are doing a transfer without entering HK, exiting HK and entering Macau.
There is no need to deal with you bags, you give them you tags and arrival flight info and the pick up the bags and then you see them when you get off the ferry in Macau.

If you are too late for the airport ferry then you need to get into HK, take bus(A11) or airport express to Central. Bus stops at Macau ferry pier but from airport express HK Central stn there is a walk there. This ferry runs 24/7 weather permitting. There is also a helicopter service from the central ferry terminal.

There is premium seating for the front of the ferry. It is more stable, seats are a bit more comfortable and you get priority boarding and disembarkation. Whatever you get depends on what is scheduled for that trip. If you like a more stable ride buy the ticket for the front.