Welcome to the Macau forum here on Tripadvisor.
See Top Questions (FAQ) - HK to Macau transport and HKIA SkyPier to Macau on the right hand side of this page for helpful information on this commonly asked question.
Specifically in regard to your questions....
>>>Would like to check if I take turbojet from HKIA to Macau, are there any free shuttle bus at the ferry terminal to the hotel?<<<
Yes, you can take the City of Dreams (COD) shuttle bus service from either ferry terminal in Macau. City of Dreams is the complex where the Hard Rock Hotel and Cafe are located.
>>>>From Macau Hard Rock Hotel, which ferry would be the closest to take if I'm going back to Hong Kong?<<<<<
The Taipa temporary ferry terminal is closer to the Hard Rock Hotel but the better ferry terminal is the Outer Harbour Ferry Terminal on the Macau Peninsula, particularly during the summer months. From here ferry service is every 15 minutes from HK and you can wait outside where its not hot.
Hope this is useful.