VOA at Shenzhen for Philippines

Good day! I just want to ask if it's true that they do not give Schenzhen Visa for Philippine passport holder in Louhu border? I really want to visit Splendid China and Windows of the World this May via HongKong. Is it better to get Chinese Visa from my home country? I am working now in middle east and planning to visit HK, Macao and Schenzhen with my family. Please give some advice...I just dont want to go to Louho border with my family and be denied... THANK YOU!