I did the same thing last year and found it exactly the same price, all included, to buy a ticket to HKG from a travel agent in Kunming. This was because the discounts to Shenzhen were minimal (~10%), and because the ~400 HKD departure tax wasn't collected as it was inbound to Hong Kong.

I paid approx 1300 RMB, all included, for the one-way on China Southern.