I received a message from a mobile phone number in Shenzhen that I was suspected of financial fraud and asked me to turn myself in to the local public security bureau!

It must be fraudulent information. If the real police knew that you had been cheated, they would have summoned you or arrested you directly. How can they have time to send you messages? Calling is more reliable than information. This must be mass-mailing, sending thousands of articles at a time. Even if one in ten thousand chances really encounters a guilty conscience, the purpose of the liar will be achieved.