Shenzhen L visa to Z, apply in Hong Kong?

Hi,

I read two different opinions in this topic, therefore I would like to ask for your advice. I am a Hungarian citizen visiting Shenzhen at the moment. If I would like to work here and my future company want to apply for a Z visa, do I need to fly back to my home country, or maybe I can get the AEL and the Invitation Letter first and just go to Hong Kong and apply there?
I tried to gather as much as information as I could, some Embassy guys told me that it used to be possible, Hong Kong and Seoul were the 2 popular destinations.
Some website states that it is not possible anymore. I am trying to contact the Shenzhen Public Security Bureau but their lines are constantly busy. I would appreciate any advice on this. Thanks.