I thought there already was a co-located immigration checkpoint at Hung Hom terminus for the through trains to China. Or is that not the case?
I have not made that trip since about 1992. At that time at the KCR station in HK had an airport-like environment, with passports needed and mainland Chinese officials beyond the gate. Perhaps they were railway officials rather than immigration officials. The trains were manned by PRC staff who kept the toilets locked until we passed Lo Wu. The journey took a few hours but the view was good all the way. Then more officials and forms before we allowed out of the station at Canton.
I expect that market will settle down like in Taipei. There the high-speed station is also underground with an underground route through the suburbs. If you are in a hurry you use the high-speed train, otherwise the surface trains are frequent, often full and not particularly slow..