Depth in what way. All we know is he's from the Mist and he left. We don't know why he left or why he respected Itachi. We don't know where he got his sword. We don't even know if he's the strongest of the 7 Swordman. So what depth are you talking about. I'll admit he was a bad @ss but no more then Deidara or Pain in my opinion.

well i think we were seeing something behind the badass i dunno why i feel this way and it may take some time to find the places where i got the feeling i can link this place again
http://www.manga123.com/read/Naruto/473/2/
http://www.manga123.com/read/Naruto/473/4
where i think we saw something else than the badass
also the whole fight with KB where we see him showing feelings and a little sadness towards loosing Samehada well not for long cause he had problems but i think i saw something