Funny bringing up DJI as an example of a Shenzhen company. They were actually conceived in a Hong Kong university but moved over the border due to cheaper rents and closer proximity to factories.
DJI AFAIK moved out of Hong Kong due to the lack of funding. Hong Kong never developed any serious engineering culture & talent base and it is very difficult to start a high tech venture in Hong Kong, from a funding point of view. From a talent point of view, Shenzhen's engineering easily outnumbers and out-qualitys Hong Kong by an order of magnitude.
thanks for confirming that HK is not a good place to start a high tech company. I totally agree with that.