Not sure where you heard that. Macau has always had the reputation of taking longer than HK and can be more of a hassle. Fees are set by your passport and are uniform at all locations, so there's no "cheaper" in Macau--the only thing that might be different are rush processing fees, and if you use an agent, their fees. The Commissioners' office in Wanchai, Hong Kong routinely does next day service, as do agents. Some HK agents can do same day service if you give them a heads up and get your passport to them first thing in the morning. Try our Sticky at top of forum for additional info, visa post.

This assumes you were talking about a standard visa, not the 3-day special visa/border pass for adjacent Zhuhai.