Hi, yes, your itinerary really soulds somewhat complicated since people usually going to Guangzhou from Hong Kong via Shenzhen. Hong Kong and Shenzhen is just separated from each other by a Customs.

Anyway, answers for your questions:
1. the tax is charged but if you arrive in and leave from Hong Kong in the same day, you could enjoy drawback.
2. It is suggested that you take the express train from Guangzhou East Railway Station to Shenzhen. The train departs frequently every day from 08:35 to 22:40 and just takes one to two hours.
3. currently, HK Airport doesn't have ferry to Guangzhou directly. And, the China Ferry Terminal of Hong Kong just has four scheduled ferries to Guangzhou everyday. So, personally, this method is not recommended.

For instead, both at the HK Airport and the dowtown area, there are frequent coaches to Guangzhou. Maybe you would like to have a try! By this way, you could catch a train to Shenzhen easily!