I have never been asked for my passport, not even once, by anyone, except obviously the guys at the border with HK and the local PSB.

If you happen to take a train trip in China and the police are doing an inspection for drugs or overstayers, they can ask to see your passport. And of course you will be asked for it if you intend to buy a high speed train ticket, so not exactly true.How you got that visa, especially in Shenzhen, I cannot comprehend. Guangdong is one of the strictest provinces for foreigners now, but more power due you.