To answer my own questions:
It’s good for destructible objects that get hit several times after another. The depth sets the layers of destruction which results in nice effects. For example a destroyable wall gets hit by a rocket. The first rocket breaks ( parts of ) the wall to depth 1 chunks. When a second rocket is fired and hits the depth 1 chunks these depth 1 chunks break into smaller pieces: depth 2 chunks. As long as rockets hit the chunks this goes on until the max depth is reached.
One objects can consist of several depths a the same time after it and it’s chunks were partly destroyed.
BUT the depth settings are always per object. So for one object you can’t define different depths for different parts of the object in PhysXLab. The depths always apply for the whole object… and not only areas of it.