1. ferry from HKIA to Macau does not run often, varies by day but 4 departures is not implausible. When I used it there was 3+ hours between ferries; contrast this with Hong Kong city to Macau ferries that run several times per hour.
2. You buy ticket (in transit area) and give the luggage tag then and bags are magically rerouted onto the boat. You get them at Macau baggage claim.
3. Venetian and Sheraton are nicer than the Sofitel, also have casinos an elevator ride away. There is maybe 1 craps table in all of Macau (not much of an exaggeration), best to learn to like Baccarat or Pai Gow or other chinese games. Also minimum bets can be quite high (USD 100 and up is not uncommon).
4. If you are expecting a Vegas experience, then maybe Macau is not for you. The Sheraton does have excellent club rooms and suites and a great pool when not crowded.