Hello,
The page you link is from XMLAPI and the XML content:
<pdx:data pdx:type="list">
<pdx:item pdx:depth="1">item 1</pdx:item>
<pdx:item pdx:depth="2">subitem 1.1</pdx:item>
<pdx:item pdx:depth="2">subitem 1.2</pdx:item>
<pdx:item pdx:depth="2">subitem 1.3</pdx:item>
<pdx:item pdx:depth="1">item 2</pdx:item>
</pdx:data>
allows generating a list from XML using XMLAPI (https://www.phpdocx.com/xmlapi-documentation/word-content/insert-list-nested-Word-document-with-PHP), not to set a custom depth style from a custom list style to a paragraph. pdx:depth sets the level of the list content, not a custom style.
Regards.