The 10th seed enjoyed a sparkling start but world number 74 Lu elbowed his way back into the contest in the second set with some superb backhand returns down the line.
Roddick, who crashed out in the Beijing Open first round last week to Kevin Anderson, composed himself for the third set which he sealed with a break of serve.
"He plays so high risk with a lot of breaks. I had more break opportunities and didn't get them. But overall, I played better," Roddick told reporters.
South African Anderson came unstuck in his first round game at the Qi Zhong stadium, losing to Wimbledon quarter-finalist Bernard Tomic 7-6 6-7 6-3.
Former world number three David Nalbandian beat Latvia's Ernests Gulbis 7-5 6-4.
Spain's world number two Rafa Nadal and Britain's world numbe r four Andy Murray top the seeds in the event and enter the draw later this week.
The week-long tournament has been hit by injury and fatigue pullouts by several top players, including world number one Novak Djokovic, world number three Roger Federer, Robin Soderling and Gael Monfils.
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