So our definitions are...
Setting Depth: The total amount of information available about the setting. Setting depth is determined by the minutiae available, the options allowed in the setting, and all that stuff. It's the downwards information that doesn't broaden the setting (lots of places) but rather deepens in (lots of information on one place). It's a build-up of relevant info.
Learning Curve: How hard it is to learn new aspects of the setting. Shadowrun has a considerably easier learning curve than WHF or very accurate historical games (like Hârn). Stuff that is unlike our modern day or is not like any modern genres that we know tends to have a steeper learning curve.
Threshold Required for Play: How much of the setting depth you really need to absorb to be able to play comfortably. This implies a level of mastery with the basic materials good enough to pick up the deeper material simply through play (or extended study of the setting). The amount of depth and the learning curve steepness help determine the threshold, though not solely. Also of import is how much of the setting depth is actually used in day to day play.
I don't know if these concepts are at all helpful to anyone else, but I'm trying to sort through, logistically, the ways in which settings can be complex or simple, easy to learn or hard to learn, easy to pick up and play or difficult to. If others have any ideas, I'd be glad to hear them.