I think to move this conversation in a more fruitful manner IMO, what would you consider "realism" or "depth", if you even believe that is possible within an RPG?
In the context of fiction, I would associate
realism with drama or literary fiction (eg The Quiet American; The Kids Are Alright) but not really with genre fiction. The only "realistic" sci-fi films I can think of are 2001 and Gravity. Perhaps, at a certain limit, Interstellar?
Once we get to fantasy, full-blooded sci-fi, CoC and the like, I think that we can talk about genre fidelity, but don't think "realism" is very helpful. Eg is it realistic, or just amusing, that when Bilbo returns home his goods are being auctioned and his wicked aunt is stealing his silver spoons? And is it more or less realistic that that same aunt stood up against "Sharkey" and was locked away? (But
not killed, for whatever reason.)
When it comes to depth, I think about thematic weight. Details are secondary. JRRT provides no detail of the economies of The Shire or Gondor, and the former at least is literally impossible. (The latter is only dubious.) But that doesn't prevent the setting having depth, as a vehicle for the retelling of the Fall in various ways, and related tropes like the restoration of the rightful king; exile, exodus and return; greed, betrayal and redemption.
The World of Greyhawk has quite a bit of detail published about it: I own the Folio, the original boxed set, From the Ashes, both small and big books/maps for The Adventure Begins, and Living Greyhawk Gazetteer. Plus the City boxed set, Iuz the Evil, the corresponding book about Furyondy and Nyrond, the City of Skulls module, all the classic Greyhawk modules, and sundry other bits and pieces.
WoG has, in my view, very little depth. Its virtue is exactly the same as REH's Hyborian Age: you can write basically whatever mainstream fantasy adventure you want on its pages, as it has Elven Kingdoms, Dwarven Halls, deserts, Vikings, ancient empires and their ruins, paladins and other knights, giants in the mountains, etc, etc. But theme and meaning are going to have to be provided by the RPGers who are using the setting. I think some of my actual play posts illustrate how I think this can be done.
A setting which much less detail, but more thematic weight, than WoG, is the 4e default cosmology. Not the minutiae of the Nentir Vale (the virtues of which are no different from those of WoG) but the Dawn War, Gods vs Primordials, the questions of the Dusk Ware and the Lattice of Heaven. This is what makes 4e D&D well-suited for setting-focused (rather than strictly character-focused) "story now" RPGing. Again, I have actual play posts that show this idea in action.