Is soundstage DEPTH a myth?

I don’t listen “deep into music”, I just listen to music.  Some recordings have a three dimensional presentation that seems to fill the room in all directions.  Look to your room acoustics to help with this and then just relax and enjoy the music.  Life outside of the listening room already taxes the mind.

OP, Are you able to discern soundstage “depth” in live performances? Is there a specific track/recording you have in mind?
I’m not sure I could discern “depth” with my eyes closed unless perhaps I’m listening to a symphony or a large chorus several rows deep. 

I created much more depth by better positioning of my speakers and also with tube amps. Certain recordings -- such as Chesky’s -- provide excellent samples to see how you’re doing.

In my music, I can hear that, for example, that the tympanis are in the back left and the basses are in the back right. I can hear there are at least two rows of instruments in front of them.

The notion you should "just relax and enjoy the music" is somewhat patronizing, if what is it is assuming is that you’re needing psychological help.

I’m going to assume something different. That you’re intellectually curious about a feature of good audio systems and you’re inquiring. You don’t need to relax -- you need answers.

room/speaker set up is highly determinative of success in having a good hifi have a sense of audible stage depth

tube amps can help some in this regard, but are not a necessity... proper set up is (assuming sufficiently good source and speakers)

done right, there is no debating the depth is there and is convincing