Once being issued an S2 visa in Hong Kong, do I have to enter China via Shenzhen?

I have been instructed to go to Hong Kong for an S2 type. My company instructed me to use an agency... But they are telling me that once my S2 is issued, I can ONLY enter China via Shenzhen... I need a second opinion because I live in Shanghai and naturally bought a round trip flight from SH to HK and back!!! Please help!