Plenty to do in Macau other than gambling for a day. You could spend the whole time just wandering the historic old town and visiting the sites there, and it makes an interesting contrast to HK which is a much more modern, more broadly international city on average. My sense is that this needs to be better advertised globally given the question "is there anything but gambling there?" gets asked a lot.

Just remember to leave enough transit time on either side and consider that it can be a tiring day trip. In addition to the ferry or bus, you are going to need to do exit passport control from HK and go through entry control in Macau, and vice versa on either side, so the whole transit might wind up being more like two hours than one each way.