Guangzhou is more of a headache than Shenzhen in many aspects, but if you wanted to take the time to see various attractions, I'd give it more than just one night.
If you decided to take the train from Beijing to Shenzhen, there's no reason to pass through any other border crossing than Luo Hu's.
Slightly OT, does anyone know when the Futian train station (Shenzhen) will be opening? Has it been pushed back to next year?