You could take the subway at Guomao Station, nearby Ren Min Nan Road, to reach the Windown of the World. Then, walk to the Splendid China easily.

From Shenzhen to Guangzhou, both of the express train and the bus are okey. You could search the train information at https://www.travelchinaguide.com/china-trains/

As for the security, you'd better do not go to the obscure area along especially at night. In the city center, it is ok~