The difference between trading A-shares through the Shanghai and Shenzhen Stock Connect and buying A-shares directly through mainland securities firms is only two:
1. 0.002% transfer fee charged by Hong Kong Clearing House
2. The securities portfolio fee of 0.008% charged by Hong Kong Clearing House (this can be ignored, holding stocks with a market value of HKD 100000 only charges a securities portfolio fee of HKD 8 per year)
List of Shanghai and Shenzhen Stock Connect Fees: