How to handle social security work in Shenzhen?

Shanghai is not where your account is located, and Shenzhen social security can't be transferred to Shanghai. Just put it on hold for the time being. Although you work in Shanghai and pay Shanghai social security, when you stop working in Shanghai, you can transfer Shanghai social security back to Shenzhen, where your household registration is located, and merge with your previous social security in Shenzhen.

Further reading: How to buy insurance, which is good, and teach you how to avoid these "pits" of insurance.