I think it depends on why the OP wants to go. I agree with all of the comments here -- there aren't tourist attractions per se in Shenzhen. However, if this will be the OP's only opportunity to see China, a visit to Shenzhen will give a pretty good idea of what modern, middle-class China is like. The architecture of the new buildings is pretty typical of modern China, and a visit to a mall or two will give someone insight into Chinese brands. There's always Lo Wu, though a gweilo is unlikely to find the really good deals. And, of course, there are some terrific restaurants. Splendid China is pretty cool. I haven't been to Shekou in a decade or more, but I never thought much about it when I used to visit.

One word about visa violations: China welcomes visitors, particularly in cities like Shenzhen. However, I would never violate visa regulations or other laws. As a general principle, I respect the laws of all countries that I visit -- I'm a guest there and I act like a guest. Specifically, I would not like to try to explain to the police or military in China why I'm somewhere I'm not allowed to be. If was fluent in Mandarin or Cantonese, that might ameliorate problems somewhat, but only somewhat.