When the train doors open at the Lo Wu (Luo Hu) terminus, you would join the the masses (from the train) as they race through the MRT exit gate, which leads right into Hong Kong passport control exit formalities. From there it's a no u-turn kinda deal directly on an indoor pedestrian bridge leading to Chinese passport control (no forgetting that duty-free now...). I "guess" you could stay on the train but one of the cleaners might kick you off, or worse.