In some cases, your site may be unstructured because design objects like CSS, javascripts are stored on different sites from your main domain.
Example the website www.lemnia.fr
This website use to 12 external sites:
These external websites stores images, css and javascripts and are mandatory to publish the website correctly.
To correctly mirror this kind of website, you need to allow the engine to retrieve external links.
The "Maximum external depth" Define how deep will the engine seek in external sites, or on addresses that were forbidden.
Normally, Engine will not go on external sites by default.
You can override this behavior, and tell the engine to catch N levels of "external" sites.
Note: This option is not filled by default, so the depth is equal to zero.