Does ICBC's SMS banking mobile phone recharge instruction have to be in Shenzhen?

You can't. According to the regulations of China Industrial and Commercial Bank, when a customer handles the transfer business such as recharging and payment, the transfer-out account must be a mobile banking (SMS) registered card account, and the transfer-out account and the transfer-in account must be settlement accounts opened at the business outlets of China Industrial and Commercial Bank in the same area. If the recharge instruction account is opened in Shenzhen, you must choose Shenzhen for business. If it is not in Shenzhen, the account opening area shall prevail.