I thought the OP would not even talk to immigration on the first transit.

Regarding questioning, when I did the 4th TWOV in a month, the officer asked her supervisor to speak to me mentioning to him that "this guy is doing weird trips between HK and Macau". The supervisor was initially not impressed, but I answered him in Chinese, which he did not expect from a transit non Asian pax and he was impressed even more when I showed him the ctrip booking - again in Chinese. We shook hands, had a brief chat and he welcomed me to the country.

Staying in HK for a night seems like a wise choice from every standpoint - its tiring to have 3 sectors, you did legitimately go to HK for some sort of business/leisure and you are avoiding the risks of misconnections.