Is it possible to go to Luwu border from HK to have a day visit visa to visit Shenzhen?

Mounier, French passport holders cannot get VOA at Lu Wu border. You need to apply for an entry permit ahead of your trip.
Or if you travel like France-Shenzhen-HK/Macau, and stay in Shenzhen for less than 24 hours, you can enjoy the 24 hour direct transit in Shenzhen and no entry permit is needed then.