Why go
Lo Wu, Lok Ma Chau and Shenzhen Bay are useful names to distinguish before setting out. The crossing determines how you reach immigration and continue on the other side. Selecting it from your starting point and Hong Kong destination is more useful than assuming all border facilities are interchangeable.
The full story
At Lo Wu, the journey described by the rail connection involves leaving the train and walking through border formalities. The Lok Ma Chau Spur Line connection also links a rail journey with a pedestrian crossing towards Futian. These are different arrival patterns from a road journey through Shenzhen Bay. Cross-boundary coaches provide another way to connect Hong Kong with mainland cities. Their boarding and immigration arrangements depend on the service, so establish the actual crossing before comparing a coach with a rail route. Similar place names can conceal different facilities: identify the station or control point precisely. Check current control-point information and connecting transport before departure, especially for a late arrival. Ask the relevant immigration authorities about your documents and itinerary. If driving, verify the permissions and vehicle requirements separately; a route available to a passenger is not automatically available to a private car.