I kinda want to put that last paragraph of yours in glitter text, haha. Definitely the emphasis is on 'depth.' I know Watson is loyal to a fault, but I can't imagine an intelligent, self sufficient person going all those years without any show of appreciation or reciprocation from Holmes. Even Watson would have eventually had enough and left. But as we see Holmes continuously contradicting Watson's descriptions of him in the stories, I think he did in fact show his appreciation of Watson. But since here Holmes is actually panicking, this is the most extreme example and Watson was taken aback by it.