Set heuristic to deeper configuration might lead to:
(Pros) Higher web threats detection rate.
(Cons) More delays before the entire (or certain part of) website starts to load; more resource usage; higher false-positives rate.
Generally, it will cause a considerable usability or availability trade-off for just a slight protection rate improvement. For most users, it's not recommended to set it to "Deep", leave it to default/recommended value.
Specific reasons to use it maybe come from organizational needs (they're high-value targets), IT department decides that they need an additional protection rate due to certain conditions like increased web and phishing attacks rate (even if all of them are currently blocked or mitigated) to increase the whole organization's security assurance while still retaining optimal availability.