If I were to get the 5 day visa for Shenzhen, and then take the train to Guangzhou, would they give me problems checking into a hotel?

Yes.

Just get a China visa. At most 1 day service via your HK hotel concierge, less if you start it early in the AM. Turn in your passport, photos and fees, then head of sightseeing in HK.

We thought a border visa would be better as we will be there during Chinese New Year when the office has holidays.

Then you'd best get a regular Chinese visa in advance, from wherever you are now. You may indeed have a problem if you pop up in Guangzhou with a Shenzhen-only permit. Be advised that from time to time, the individuals of certain nationalities whose countries are in the doghouse with the Chinese gov't are refused Shenzhen 5-day border permits for varying periods of time--in the past, this has variously included the Brits, or the Americans, etc.

Do you know what the current situation is for US passport holders getting 5-day Shenzhen SEZ visas at the border?

I did not know that the 5 day SZ only visa even existed any more.

I pass through the SZ checkpoint once or twice per year, and I can't remember the last time it was even manned. It has to be at least 2-3 years.

I thought I read in several places that the 5-day visa was suspended only for US passport holders because of diplomatic reasons, but of course this could be wrong.

As for your experience, I have a question: the last time I went through the checkpoint and got a 5-day visa was in 2002. That time and the prior time, the visa office was upstairs, such that as you were walking from the border to the immigration checkpoint, you had to do a U-turn and walk up a flight of stairs or take an escalator to the next level and go inside the office up there. If that's the case, how did you notice that the office was closed?

Not sure what your citizenship is but US citizens can't get Shenzhen visas anyways, so you won't have a chance to try it out.

That was half of my question. My understanding is that what you said comes and goes. In fact, I have two Shenzhen visas in my US passport right now, from 2001 and 2002.

So, for someone that really knows the answer: was this suspended for US citizens once since 2002 and has remained unavailable since, or is it something that comes and goes with the diplomatic tide?

I will believe it when some with a regular US Passport scan or take a picture of his/her Shenzhen visa on it dated within the last 2 years, and post it.

Sorry for the delayed reply, and also for confusing you.
I was not referring to the Lo Wu border crossing. I remember the office you are referring to. I do not know if it is still there.
What I was talking about is when you drive out of Shenzhen, about 20 minutes (depending on traffic) from the border, there was a check point. You had to stop and show passports (coming in or going out). Sometimes you just flashed it, and sometimes they really looked at everyone's passports. This was the border of where the Shenzhen visa was good for. The check point is still there, but not manned.

2004 or 05 is when it changed.

So yeah, I really know the answer.

Ah, now it all makes much more sense. If that checkpoint (the one between Shenzhen SEZ and the rest of Guandong Province) is no longer manned, then it would make sense that the Shenzhen SEZ visa no longer exists for passports of any nationality, as they have removed the mechanism of keeping people with a SEZ visa but no regular PRC visa from proceeding out of the SEZ and into the mainland proper.

As a side note, what has this done to the population of Shenzhen?

In addition to the internal border control in and out of Shenzhen SEZ, hotels in China will copy your passport particulars and forward them to the local police (public security bureau).

It's manned but they do not check people. I went from Zhuhai -> Shenzhen via bus through both the checkpoints. PLA was there but they didn't do anything but watch the cars/buses go through. Also, they are still giving out 5-day visas at Lo Wu but not to Americans still.

This is accurate as of this week. I was just there. UK citizens can now get those visas but they're something like 450HKD/RMB.

Eliminating the SEZ checkpoint is considered the prime reason why Shenzhen has had a massive crime wave in the past year. They used to deport (FWIW) criminals from there and while they still can, there's nothing really stopping those guys from coming back in. It's considered to be the main reason why crime, which was always relatively high vs. the rest of China has gotten much much higher in just the past 12 months.