This is a very vague, not literal (and possibly confusing) concept. Rather than being a feature of a game it is more of an opinion based on whoever adds content to the page. In this sense, every game can have "hidden depth" as long as the person who submits agrees that game is "more-than-meets-the-eye". If this page were "Hidden content" or "secret items" or something of that sort it would be fine, but now the page isn't specific enough to really warrant its own existence.
That's by far the most unfounded concept page I've run across. It's a shame to delete since so many games are attached, but then again, every game could be attached, so of course there are over 200 already. Concept just doesn't make much sense and is totally, completely subjective. According to the description, if a game happens to be fun to one person and not necessarily another, it has a "Hidden Depth." If it has downloadable content, right along with it comes "the Hidden Depth."