The cross-border trains Hung Hom to Guangzhou (and beyond) have been suspended during Covid, and replaced by the HSR (high-speed rail) from Kowloon. These were the only way to leave the Mainland via Luohu – sans passing through the Luohu border port, as the train line bypasses the Shenzhen train station entirely.
Back when the trains were running, you were leaving the Mainland at whatever train station you had boarded the train – Guangzhou, Dongguan. But not in Shenzhen anyway.
There are no roads crossing into HK in Luohu (currently road crossing are, west to east, Shenzhen Bay, Huanggang/San Tin, Wenjindu/Man Kam To, Liantang/Heung Yeun Wai, Shatoijiao/Sha Tau Kok), so you cannot buy a bus ticket, for instance. So that's out. And the metro systems are separate and not interconnected.
There is no way to leave the Mainland through Luohu with a pre-booked ticket of any sort. I think Luohu is in the list for either historical reasons, or "just in case". Like Futian / Lok Ma Chau, which has the same setup.
I couldn't find an updated policy, and the most recent I found is from 2019 – and indeed doesn't list Futian HSR station. It mentions all the same points, including the 32 exit points and onwards ticket with seat number. The gist of it is:
今年5月1日起，53个国家持有有效国际旅行证件和144小时内确定日期、座位前往第三国( 地区 ) 联程客票的人员，在广东省行政区域内实施过境免签政策。过境外国人可选择从广州白云机场、深圳宝安机场、揭阳潮汕机场空港口岸中的任一口岸入境，从广东省具备客运功能的32个对外开放口岸中的任一口岸出境。
Starting from May 1 this year , people from 53 countries who hold valid international travel documents and connecting tickets with a confirmed date and seat within 144 hours to a third country (region) will implement a transit visa-free policy within the administrative region of Guangdong Province. Foreigners in transit can choose to enter from any of the airport ports of Guangzhou Baiyun Airport, Shenzhen Baoan Airport, and Jieyang Chaoshan Airport, and exit from any of the 32 ports open to the outside world with passenger transport functions in Guangdong Province.
More recent web pages refer to this policy, or quote its text, sans changes.
I might enquire, if I ever pass through SZ or GZ airport. But in between, my opinion is that either the Luohu, Futian, Gongbei, Hengqin, etc ports are not valid for exit, OR if the exit ports leading on foot to HK and Macau are indeed valid, the tickets referred to in the policy are tickets from HK and Macau, not Shenzhen / Zhuhai. As in, you have for instance a CDG-SZX ticket, and a HKG-SIN ticket. So Immigration looks at that, sees that you'll have to leave through one of the pedestrian/road ports, and lets you in. Which seems like the more reasonable explanation.