What is the wrong???????

(1) for distance in length:

How far is it from the MTR station to Shing Mun? -or-
How far away is it between the MTR station and Shing Mun?

answer: It is about 400 metres.
It is about 5-minute walking distance.

(2) for distance in time travelled:

How long does it take to go from the MTR station to Shing Mun?

answer: It takes about 5 minutes to walk (from here to there).

How long does it take from the MTR station to Shing Mun?

If you want to talk about the distance between MTR station and Shing Mun:
Q:How far (/ farth) is Shing Mun from the MTR station?
Explanation: As the distance between these places is fixed, for factual question, we usually ask in this way- without 'does it take'. Otherwise, people may be confused if you want to ask the time or distance

If you want to ask the time needed to go there:
Q: How long does it take to go to Shing Mun from the MTR station (on foot)?

你是要問MTR station 到 Shing Mun有幾遠, 還是MTR station 到 Shing Mun要幾耐? 前者你的句子是正確的, 後者應該是'How long does it take to Shing Mun from mtr station?'

How long does it take to Shing Mun?

How far does it take from Tsuen Wan MTR station to Shing Mun Country Park?