1) Where exactly 2) in which station in Shenzhen do I pick up my paid ticket for T212?

The T212 starts from SZ Railway Station, so you can collect your ticket at SZ Railway Station in Luohu District. If you use the Luobao Line to reach Luohu Station, you can see the railway station after you get out of the station.

Or if you are in any city in China, you can go to the local railway station to collect your ticket.