In general, Zhuhai is a safe and friendly city. However, it is heavily infested with pickpockets, especially in the crowded shopping areas and on buses. Using a razor to get a wallet out of a hip pocket on a bus is a favorite tactic.
Zhuhai is well known for rent-a-hottie services, but it is not Thailand. Prostitution is illegal in China, and if you are caught with one by the police, the consequences could be dire.
As in anywhere else in China, do not drink the tap water, avoid undercooked meats, watch out for counterfeit bills especially 50s, and be very cautious about traffic.
As in anywhere else in Asia, some tour guides will take you to shops that pay them commission. Those shops are often overpriced, and the usual advice is to never let any local except a trusted friend take you to any tourist shop. One Zhuhai variant involves outrageously priced herbs from a Chinese medicine company called Bai Chao Tang ç¾èå .