Can I fly from Shenzhen directly to Seoul if I get a China visa in Hong Kong?

I'm Italian and I'll fly to Hong Kong and then I'll move to China for a weeks business trip. I'll apply for the visa in Hong Kong and I'll stay there for two days. After, I'd like to fly from Shenzhen directly to Seoul. A my Chinese colleague told me that I cannot flight directly from Shenzhen to Seoul but I need to come back to HK and then fly to Seoul because my visa has been issued in HK. Is this information correct? I thank you in advance if you can help me clarifying this point.