Mainland authorities only check at Zhuhai, HK ImmD checks near the airport. If you are driving or taking the bus from HK to Macau you don't have to cross the Mainland border. But the part of the bridge from the first island until Macau/Zhuhai is Guangdong territory and they can obviously check and arrest you there. It's not a border check point though, you don't need a China visa on the bridge and they don't want to see your passport, only HKID.
The SWAT officer's were very courteous though and could speak English, unlike the usual grumpy Mainland immigration agents in Zhuhai.