The depth limits somewhat reduce server load so changing them for AnonyMonk and new users may have a non-trivial impact on server responsiveness (most page hits are anonymous). Eliminating the limit is simply unacceptable to me (not only for the possible impact of server responsiveness but also because it can make some huge threads render unacceptably slowly and also display quite poorly). In fact, it'd be nice to have a reply count restriction to go along with the reply depth restriction, but that is harder to implement so I certainly wouldn't hold my breath.
Have you tried setting the two depth settings differently as I recommended? I find that it is a huge improvement to the clarity of the results, to the point that I'm in favor of such being required.
Hmm, that makes me think of a quick way to do this. I'd actually rather just strongly encourage having them set differently (that is, discourage setting them the same by accident or ignorance). But given the problems I had trying to just get AnonyMonk to use different defaults, if nobody ponies up patches to implement something better (I won't hold my breath) then I might do a quick patch to force "headers w/o bodies" to be 1 higher no matter how they are set. Somebody can come back later and improve that if they have the time and motivation.