why train from shenzen doesnt yet to hongkong

Until 1997 HK was under British Control and there was little passenger traffic between HK and the mainland. Even today HK operates under a different government with different laws, money, banking system, etc. Even air-flights from the mainland to HK are regarded as international.
You can drive or take the bus or ferry from SZ. There are two border points from which you can take the train.