Ive been using the depth field recently and I know that I had a massive problem getting Shake to understand the depth channel info. You may need to check the AE docs or an AE specific forum for help on that.
The closest and furthest depths are exactly what they say they are I guess. The closest and furthest depths that you want to be in focus. I'm not 100% sure on that.
Alan
Technical Director - Framestore
Currently working on: Your Highness
IMDB