I live 6 miles from SZX, but only earlier this year did I splurge on a discounted Shenzhen Airlines first class ticket to PVG, back from SHA on China Eastern.
I was truly shocked at how nice it was. Access to the lounge in SZX (quite, quite nice, a few decent items to eat, really nice service from the staff), and actually quite good service in the air. Received a nice amenity pack (doubt these exist on other China domestic airlines -- certainly not China Eastern! which was the pits in first class).
The meal was not bad. Big seats. I now try to fly them anytime I can get a A-fare (50% off F = basically the same as full Y fare). SZX to Shanghai in A is about 1480-1500 RMB.
Never had a chance to fly Air China's first class yet --- out of SZX, to the places I fly, there are just way more Shenzhen Airlines flights.
While owned by CA now, it's not that obvioius to regular passengers that they are related.