Indeed, they all - that is, Macau, Hong Kong and mainland China - have separate immigration and currencies. The flight from the PRC is considered international.
(Incidentally, should you go to Macau from Hong Kong, don't get stuck with Macanese money - it's worthless outside the SAR. HKDollars are accepted throughout Macau 1 to 1 -- even though the real rate is something like 1.03 to 1 -- so you won't even have to change money.)