Yeah, my fortress design includes multiple depots, each with its own airlock . . . but the fort is 36 years old now, and I've yet to see any real reason to turn that design detail into a reality.
For me, a typical caravan sells me 250+ wood (I try to have used up ALL of my native logs / the previous caravan's load, as I'm making a ton of clear glass & I don't have magma), a few barrels of booze, a couple of bags of flour / sugar, about 2 dozen units of fish from the humans, the caravan's cheapest bin of cloth & ditto leather, and a handful of muck roots & bloated tubers (as these won't grow on my site & I like the variety). I'm about to start ordering tin, but even at maximum demand that's 4 bars of tin & 4 lumps of cassiterite--hardly a noticeable spike in the weight that the animals have to carry.
If I opened up my outer depots to allow wagon access, that would give me the opportunity to buy "a LOT more supplies" -- like what? As far as I know, the amount of wood (cloth, leather) they bring is determined by your fortress population minus your fort's current stockpile of said material, so switching to a wagon's expanded capacity would do nothing. More booze / fish / foreign plants might be nice, but it's not like I need them. What exactly would wagons bring me MORE of? Ilmenite blocks? Anvils? Large gems? Silver arrows? Thread? Wooden armor? Large iron left gauntlets? Copper ladles? Through random chance, I might be able to buy a fifth unit of tin / cassiterite? Having a greater selection might mean I could FINALLY be able to purchase a decent war animal from the elves, but as they never bring wagons anyway, that's a moot point.
As far as I can tell, my fort's only reasons for opening up wagon access are:
1) By switching from 4 outer gates to 8, I would potentially halve the time that caravans spend outside & exposed to goblins.
2) Expanded load means I'd be able to buy more (maybe a lot more) useless tin / bronze crap and melt it down.
That's it. I'll do it eventually, but it's waaaaay down my priorities list.