You are planning to stay in Shenzhen but going into HK each day? Time for going through 4 immigrations and the commute aside, do you have enough room on your passport for all the stamps - 4 each day - you're going to get if you're using just a foreign passport and visa?

Yes, the hotel is directly across from the Shenzhen Railway station (for trains to other parts of China, and not HK) and is definitely walkable to the border, but since you mentioned "limited walking range", have you also considered the amount of time you're going to be standing in line to go through the 4 immigration counters each day?

The total walking distance from that hotel to the MTR East Rail platform on the HK side will be about half a mile.