When the depth is sticky, you’ll will update with the same settings each time you update. If the depth isn’t sticky, next time you update you will revert back to the former setting, pottentially downloading everything recursively (that is maybe a lot of data).
EDIT:
It seems that “fully recursive” is currently broken. I need to test more, but the latest version seems to have the problem.
To achieve the effect you want you probably want to use the “Choose items…” dialog and check everything out, then use “Exclude” to avoid bringing in changes for folders you don’t want.