You go to Shenzhen because you're curious to see modern Mainland China, which is what it is. A lot of modern China resembles Shenzhen, so it's not a bad window, though certainly richer than most of the rest of the country.
If you want a place with more character, some scattered traditional atmosphere, and various tourist sites, then head to Guangzhou, though you'll need a full Chinese visa for that.
While going to Guangzhou on a Shenzhen visa is definitely illegal, it is certainly possible (and easy) in practice.