I don't find the HK-SZ routing that much of a hassle. Sometimes it's more predictable, even with queues at border immigration, compared to ATC delays at PEK. Or worse, flight cancellations.

There are many routes from HKG to Shenzhen. Choice of whether to take ferry direct (only 2 choices of destination) vs go through HK immigration then bus over (more choices and routes) might depend on exactly where you want to end up, once in Shenzhen.