It is possible to leave Shenzhen with the 5 days Visa on Arrival?

Yes, this is perfectly legal way to travel. You are eligible as Italian citizen for 5-day Shenzhen VOA. All you have to do is to arrive at the border crossing between Hong Kong and mainland China and apply for the mentioned VOA. It is always advisable to have a hotel booking in hard copy to support your application. Anyway, in your case the greatest support to your application will be your flight ticket from Shenzhen to some other country. When you enter mainland China you can explore Shenzhen and the area that is called Shenzhen Special Economic Zone.