Jiangsu took to attacking the basket from the paint early on, before going up 20-9 on a 14-0 surge.
The attacking-minded player, who began his career with Osasuna, joins Athletic Bilbao after 72 appearances in Serie A in which he scored eight goals and provided seven assists.
Wu opened the game with two straight 3-pointers, while Henan's Zhang Lingge answered with two shots from beyond the arc. Wu and Liu combined for 18 points as Shanxi built a 22-17 lead in the first quarter.
In other Brazilian top-flight fixtures on Saturday, Gremio drew 1-1 at home to Internacional while Corinthians drew 0-0 at Bragantino. Enditem
Association president Fritz Keller demanded a series of victories to collect points helping to avoid relegation "as we can't afford to go down to a lower group."
The fixture between Genoa and Torino was postponed as many of Genoa's players tested positive for COVID-19. Enditem
After dominating the upper hand across the final quarter, Zhejiang kept up its all-win record in the ongoing 2020-2021 season.
Earlier on Friday, Jiangsu defeated Shanghai 3-0 (25-17, 25-20, 26-24) in the third-place match.
"I mean, we both gave everything," said the third-seeded Thiem. "The thing in tennis is that there is one loser, one winner. Despite (being) so disappointed, I'm still happy for him."
Also on Saturday, fifth-seeded Stefanos Tsitsipas earned a spot in the fourth round after his Slovenian opponent Aljaz Bedene retired from the match and hobbled off the court when trailed by 6-1, 6-2, 3-1.
Tianjin maintained its tactical structure, and overwhelmed its opponent with a 14-2 run in the third set.