Yes, Sheung Shui is probably one of the strictest on the network due to the number of people from the Mainland with suitcases. It's similar at Tai Po, where the security guards are looking out all of the the time.
Though I must disagree with 889. I'm going to presume you are ethnically Chinese/ East Asian as the guards usually let others through. And if they don't, you can usually 'I don't understand' your way through.

In future, take the A21 to Hung Hom station where there are usually no checks. If there are checks at one entrance, you can just go to a different entrance as there are quite a few.