Transit in beijing with a VOA leaving from shenzen airport.

Alexandre, you as Belgian citizen are allowed to enter China absolutely visa free for up to 30 days in a similar way as if you were traveling to UK, for example. So, you can freely enter mainland China from Hong Kong by train, bus, ferry and proceed traveling within the entire country for 30 days without any additional formality. In other words, all these visa in advance, visa on arrival, visa free transit and similar stuff should not bother you at all because they are not related to you in any way. Just proceed with your travel plans and enjoy your journey.