I believe we go through passport check upon boarding or existing the bus.
When I looked at doing it oursevles, I read: When traveling from Hong Kong to Shenzhen, you will pass through standard immigration checkpoints, including security checks, at the Futian Port. You will also pass through security and immigration at the Hong Kong station before getting on the train.
In any case since we will be 10 days in China we will need a tourist visa most probably anyway (from the US). Will see where and how we go through passport control.
We were going to do our own travel from HK but it was going to get more complicated and really waste time as we are in Japan before the cruise and will be going from KIX to HKG. We were going to stay in HK one night before the cruise but it wastes too much time ultimately as we will fly from KIX to HKG and get picked up and taken to the ship all the same day.
Ultimately I am interested in the whole trip. 9 days on our own in Japan and then the 10 day cruise.; It should be great!