There's not a lot of info about the Shenzhen SEZ Visa on arrival, but I can say that if you use the Luohu/Lo Wu port, aim to get there as they open because they don't get through many before they stop for lunch.
Don't have any numbers myself, but per persons who recently attended KubeCon China earlier this year they have not seen Shanghai this empty of tourists in years. Also, supported by a friend of mine who was head of accounting for a cosumer goods firm over there until recently.
People from many countries can enter Hong Kong without a visa. It draws tourists and helps with many export businesses.
For this reason people in Hong Kong have not passed the stricter scrutiny applied to people who visit the mainland, so they have to be re-checked at the border.