Blade Depth is how far the blade sticks out of the end of the blade holder and is a major factor in how well the machine cuts and how easy or difficult it will be to weed the material. Remember that the blade should only stick out of the blade holder far enough that it can cut through the material you’re cutting but it should not be out far enough that it could cut through the backing as well. You never want more depth than what is necessary.
You can test for correct blade depth by manually cutting a circle. Lay a scrap piece of material on a hard work surface (not on a nice table though in-case you happen to cut through the backing). With the blade holder in your hand press down, with a moderate amount of pressure, and cut a circle in the material. If you cut through the backing then the depth is too much and you need to retract the blade.
You will not be able to cut through the material backing once the blade depth is set correctly.