Can I apply China Visa in Shenzhen?

You'd better apply for a China visa in advance if time permits. Because there is risk that you may not able to be granted a Shenzhen visa upon arrival.

Don't worry, you can apply for Chinese VISA through Chinese embassy in Hong Kong. which is cheaper (almost half price) than in Jakarta - Indonesia. There, in Hong Kong, For non Hong Kong national, you can only apply for a single entry - valid for 3 months.

Of course you need sometime to stay in Hong Kong for this reason. you have option:
1. RUSH - takes roughly 24 hrs to complete. you apply today, you get your Chinese Visa by tomorrow, and it costs you additional charge for 250 HKD.
2. EXPRESS Service - takes roughly 48 hrs to complete. you apply today, you get your Chinese Visa by the next 2 days, and it costs you additional charge for 150 HKD.
3. NORMAL - takes roughly 4 days to complete.

and.. there it is :)

I heard that Shenzhen visa is used only in SEC, is it true? Can I come back to Indoneisa if I only have Shenzhen VOA or if I have visa which I applied in Hongkong?
Thanks.

Yes, shenzhen visa can be only used in Shenzhen, you can come back to Indonesia if you only have Shenzhen VOA or if you have visa which you applied in Hongkong.

If you get Shenzhen VOA at the port, you can only stay in Shenzhen for 5 days most, then you can go to Hong Kong or return to Indonesia. If you apply visa in Hong Kong, the China visa permits you go to every place within Mainland China.