Yes, a pre-purchased ferry ticket is mandatory with no alternatives available. You must print this ticket and carry it with you at all times. Additionally, you are required to board the specific ferry for which you have purchased the ticket. Unfortunately, simply crossing the border on foot is not permitted, as you must demonstrate genuine transit intent. While this requirement is straightforward for air travelers, those using alternative transportation methods must present a pre-purchased ticket. Given your flight from Taipei to Guangzhou, you have two viable exit options via ferry: Hong Kong or Macau. Although there is a ferry service from Nansha to Hong Kong, no direct ferry connects Nansha to Macau. The closest eligible port for Macau-bound ferries is Shekou Port in Shenzhen, where direct ferry services to Macau are available. You are not required to transit through Hong Kong. In my recommendation, since Macau is your final destination, the optimal choice is to take the direct ferry from Shekou Port in Shenzhen to Macau.