Lucky you.
In dalian a few years a go some expat bands were becoming too successful so the police cracked down on expats performing life music without the right visa. Pretty much killed the scene but those guys left the country recently and new bands are starting to come out more.
Yeah, I've heard horror stories from nearby Guangzhou and I've had my run ins with the police. Shenzhen seems a bit more tolerant than other cities but it's legally still a grey area.