Check out this link
http://www.hkatc.gov.hk/HK_AIP/AIP/AD/HK_AD2-101.pdf
and it might explain why you get so many instructions in rapid succession, especially if you are being short-cut from TD. If they were issued one at a time there is the danger of someone else transmitting just when you should have been turned onto the LLZ. Might explain a few other things too, like the proximity of the Macau approach. Pity the chart doesn't show Shenzhen too. But believe me it is on that map. Don't forget that you don't hear or necessarily see the Macau arrivals/departures on your left hand side and if they are deviating around weather. Doesn't fully explain the max no. of ATC instructions, but hopefully will provide a little insight into what's going on around you. You are not alone!! I know when I worked Approach I liked to maintain "control". That is after all what we're paid to do.
On the beach