Visa on arrival, leaving by different route

I have got the VOA for Shenzhen a couple of times now with no problem at Lo hu port, British passport holder.

However this time, I would like to leave via Shenzhen airport. So my question is, if you get a VOA at Lo hu as normal, is there any problem LEAVING via Shenzhen airport, even though this is not a VOA port, or would I have to go back to HK ?