One possible reason: Shenzhen is an economic behemoth that's also a new city (it was basically a fishing village until the 80s), which mean it has fewer 'old h

One possible reason: Shenzhen is an economic behemoth that's also a new city (it was basically a fishing village until the 80s), which mean it has fewer 'old hands' there and is relatively free of corruption and socially more liberal (by Mainland standards). In other words, the Communist Party is less influential there than in other major urban centers. Under the reign of Uncle Xi this might be frowned upon.