"Are you saying depth is a result of sound bouncing off the physical room? And since there’s nothing to bounce with in a headphone, there is no depth? I’m sorry for not understanding."
Not so much bouncing off of stuff in the room, but the interaction of the sound waves of the two speakers playing simultaneously in the room.
Something to consider. If both speakers play the same thing, in phase, there are constructive as well as destructive interferences (peaks and nulls) set up in the room. For something to be dead center, both speakers are playing the same thing, at teh same volume, in phase, reinforcing each other and sound is therefore louder at that spot. Similarly, depending on the wavelength and distance between the speakers, you could have a path differential that creates a null when both speakers are playing the same thing
But on headphones, the center is in your head and the sound of both channels is not reinforcing a wavefront making it louder, or quietier, if you are listening to a null spot.