leaving from shekou to HKIA and my airline is not on the list to check in the luggage before.

As I know, if your airline is not on the list, you cannot take ferry from this ferry terminal. So you're suggested to take cross border coach from Futian. By coach your luggage can be taken onboard without any problem.You can take it in Grand Mecrue Oriental Ginza, Air International Hotel, or The Pavilion Century Tower.

You can still get ferry without checking in your luggage you just have to carry it yourself. I had 2 cases total 45kg and 1 carry on. Had help to cart up stairs to boarding waiting area/customs & immigration area. Then out onto pier then back down loading ramp to ferry. If you have wheels no problem. At the HK end no problem as you basically get off in the airport. I went by the land route HK to SZ and came back via the ferry. Comparing the 2 the ferry is much less hassle. That was in Nov 2013. Am going back next month and will definitely go via ferry