You dont have to leave in a small box in Shenzhen, the restaurants are cheaper but yes better variety in Hk, Money is great in Shenzhen...The light here is simple people are either busy making money...or going out at night to the bars drinking! I'm a foreigner here and yes I do run to HK every so often mainly for some food and groceries that aren't available in Shenzhen, but as for nightlife Shenzhen has one, still in its GROWING Faze but ladies are nice...there is a lot of mongering opportunities even though I've yet to get involved with any...Shenzhen aint for tourism like Pattaya or Angeles city that is for sure!
As for expats they do what they do everywhere in the world work, drink, chase women...