While I've taken the Shekou-HK ferry and it's nice, it's not that frequent (only 6 sailings from Shekou each day), and only to Hong Kong Island now (no more Kowloon). And it costs 105RMB.

Compared to the train that runs every few minutes and cost under HK$40 for TST and just over $40 for Central.

In fact, even from Shekou, it might be faster (and definitely cheaper) to just take a taxi to the Shenzhen Bay crossing and then take one of the many buses to various points in HK.