Indeed, as Dan said, one can change the depth on the fly. In fact, one goal of the development team is to make as much functionality as possible changeable on the fly. For example, you can currently change subtitle depth, pinning, and size on the fly, spoken language, subtitle language, microphones, and audio settings on the fly, etc.
I’d love for every setting and feature to support on the fly changes. That said, some things are currently fixed for a session, such as recording audio, and some third party software we utilize is less dynamic and forgiving of changes on the fly. For better or worse, in our software world of today, the sage advice of The IT Crowd “Have you tried turning on and off again?” still seems to hold with pragmatic force. And it still holds with XRAI ... sometimes ;-)