Nah, I don't buy it. These kinds of things are easily learned. Web links don't have depth and we all learned pretty fast that we can click them (in some instances they don't even have to be underlined)
Most Desktop web browsers provide quite many affordances for links, and do so automatically upon hover: change cursor, underline, pop up link description, show URL in status area.
Touch UIs can't have these "introspective" affordances because hover is not practical in a touch-based UI.
Even with all these affordances, if a Web UI didn't distinguish a link from other content visually, it would make for a difficult interface to traverse.
Very much this, hyperlinks are visually distinct elements in pure HTML and get color and style change (underline) to indicate the link. One of my biggest pet peeves are sites that alter link style in CSS so that it loses those kinds of visual clues and makes it harder to know what can or cannot be clicked.
Depth in this context is relative (affordance is a better term btw). A boldness in a sea of un-bold text is something worth investigating (affords something...), with your mouse, or just your eyes - then you can determine from the text whether you might want to click it or not. This is why it's common to underline links or change colour. You can't make a link the same as normal text and expect a user to learn which words you've used for links.
The point is we already know these things by intuition, we shouldn't have to learn them.
