most certainly soundstage depth is real, I suppose depending on your speakers and your positioning
with my old Epi 100 speakers, close my eyes and can discern drummer in back, singer ahead, sax over there to the left somewhere in-between depth, chorus to the right and back... and effects, even in music, that emerge up front but then fade up and away and off to rear space
with my new Heresy IV the effects range from dramatic like sounds zooming from way back in the distance towards the front and then wooshing overhead, or subtle like a guitarist stepping forward to play a solo and then back again, or a singer stepping forward to the mic, and even the sway of a singer's body or head movements in space both side-to-side and front-to-back. It's palpable, and definitely has depth.