My personal preference is depth. I still want to have some leaders but depth makes me less dependent of them. Game shape and injury troubles for a couple of players is not a huge problem anymore. And it's easier (and more interesting also) to plan a rotation for weekly games, somitimes you will be able to win 3 competitive games without overloading your players (and once again, slight overloading is not a problem - next week you will replace them).
The single but important downside here is your squad peak power, if speaking about play-offs final game when all your and your opponent's players are in perfect condition. The bigger starting 5 will have the obvious advantge although sometimes the bench effort can change the game too.
Summing it up, I'm not sure if it's the most efficient way to build your team but for me it's the most fascinating one.