There are immigrations to clear if you are going to Shenzhen from Hong Kong. So it is advisable that you should reach the high speed station in HK early, and that you have your passport ready as well.
There are no food stalls in the waiting area, so once you pass immigration, you can be hungry if you had not eaten. So eat before you clear immigration!
Of course, you can also eat in the train, but beware: they much prefer paying by QRCodes/scanning, and if you pay cash, pay exact amount because they do not give change.
Overall trip was okay, but service standards much to be desired.