Can I confirm if French Nationality can apply for Shenzhen visa on arrival?

Sorry, Shenzhen VOA just allows you to stay in Shenzhen for five days. If you really have something urgent in Zhanjiang, then you might apply for the special VOA for Zhanjiang directly. However, it's a bit complicated to get it. You should have the letter or approval from the duly authorized Chinese unit. Otherwise, your application might be turned down. If possible, you might ask your Chinese business partner to get that approval.