The fingerprint registration is _AFTER_ HK Immigration and _BEFORE_ CN immigration. Whether you're allowed to return from there easily I'm not sure. But there is probably some way to do it, e.g. "I missed my train, will try again later" or some excuse.
Though to get to this point of HSR station, you need to have a valid ticket (which is the initial ID scan at the very beginning). But you can just buy a random $75 futian ticket for it I guess.