The ferry company does claim your bag for you, as you do not need to enter Hong Kong officially. I didn't know this going in, but was surprised how efficiently it seemed to be done. No clue how they do it, but they did. I didn't have an advance ticket, so I bought one at their ticket counter in the area off to the right of the lobby prior to HK immigration. Near there is the entrance to a train that takes you under the airport and out to the ferry pier. It was quite a slick system, I was impressed by it.

So to recap, you won't have any customs and immigration to deal with, and they will forward your checked luggage for you.