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!
You can get them at Lowu and Huanggang.
However, if you entered with the 5-Day-Visa you can exit here, or any other Shenzhen to Hong Kong border with no problem.