The least crowded border is Futian Kou An (Lok Ma Chau on the HK side). If you have a group you can catch a taxi right up to the MTR/border checkpoint at Lok Ma Chau (and on return home again!).
Shenzhen Bay is OK but can fill up with tour groups at peak times.
For Lowu Commercial City, most things are closed but the restaurants are open. Probably better to explore around Futian (where Lok Ma Chau checkpoint is) and you can jump straight on to the Shenzhen metro from Lok Ma Chau.
For spas, most will be open. (Including Watercube, which you can see on the right as you walk across the Lok Ma Chau footbridge from HK. See large sign saying "Spa".) Many Shenzheners do go home but more and more people have their families in Shenzhen now or the journey home is long and expensive so nowadays not everybody evacuates the city.
All the malls - Holiday Plaza, Coco Park, Central Walk etc etc will be open (some great inexpensive restaurants). You could get some great specials at the hotels for buffets or accom if you look online. (eg shenzhenparty.com) Xpats Bar, Central Walkway will be open and McCawleys at Coco Park. Book City at Shao Nian Gong is great.
The parks - eg Lianhuashan in the City CBD - are fantastic.
The best thing to look at for getting ideas on what you would like to do is the Map of Shenzhen - you can find it at Dymocks IFC, Lyndhurst Terrace, Harbour Centre, Repulse Bay, Citygate etc. It also has diagrams of the border crossings.
You need to get to the border early - by 8am is best but before 9am is OK. You'll have a great time and everything costs much, much less than HK!