David -
Without the China Immigration Stamp or Macau Immigration stamp in your passport HK will not recognize that you have left HK and re-entered.
I just read your first posting again where you stated that you are 'American' - assuming you also hold a US passport - the cost for a single entry visa to China for a US passport holder is approximately HK$390[More info at: http://www.fmcoprc.gov.hk/eng]
A trip to Shenzhen therefore would cost you HK390 + HK60 = HK$450 plus 90 minutes of travel time and a 1 or 2 day wait for your visa.
A trip to Macau would cost you the cost of the Ferry Tickets at approx. HK$320 plus the travel time [More info at: http://www.turbojet.com.hk/index.htm]
As for the HR Department most likely are locals and travel completely different to cross boarder destinations and Immigration processing centers. Additionally, they tend not to volunteer information even if they have it - so overtime you will surely become very good at asking questions in such a way that you will get an answer which is useful to you.
Best of Luck in your decision.