You are looking at the list where you can check in and get boarding pass in Shenzhen.
The link I showed is the list of airlines with which you are eligible to take the ferry, and then I presume
check in at HKG.
When I took the ferry from HKG to Shetou, I had flown in from North America with checked baggage.
I showed the baggage tags when buying the ferry ticket, and they arranged for my baggage to
be placed on the ferry - I picked it up when we landed.