Good luck with the visa application in Italy - everything is pretty much covered above, but with regards to safety I'll add my 2 cents. Shenzhen is no more dangerous than any other city in China - Lo Wu is a travel interchange and like all others from Guangzhou to Beijing they are a focal point for economic criminals, especially around Chinese New Year.
After 10 years in the city I am more nervous walking home from a country pub in rural England than I am leaving a club at 3am in Shenzhen. Just keep an eye on your belongings - wallet, mobile phone, books, (basically anything portable), - and you'll be fine. A few years ago, there was some hysteria over Shenzhen being this lawless city of crime, a view perpetuated by the Hong Kong media. I have never been pickpocketed, but two attempts have been made, one in Shenzhen, the other in Hong Kong.
The electronic markets at Hua Qiang Bei Road are potentially more dangerous becuase of the higher value items on sale. If you are carrying a new laptop all boxed up, you can bet it's worth more to a criminal than a fake Jimmy Choo bag.
Hope this helps - enjoy your trip