You can not get the 5-day Visa in Lok Ma Chau (Fútián / 福田) or Shenzhen Bay (Shēnzhèn wān / 深圳湾) border checkpoint!
Don’t go there without visa! There are no other visa types available there. You will be send back to Hong Kong!
However, if you entered with the 5-Day-Visa you can exit here, or any other Shenzhen to Hong Kong border with no problem.