There is a new regulation:
No more 5-Day-Shenzhen-Visa for first time China visitors!
If your passport has no China visa in it from a previous visit you will not get the 5-Day-Shenzhen-Visa.
If you have a new passport with no China chops, but have been China before you must bring your old passport if you want to get the 5-Day-Shenzhen-Visa.