Ok, minor breakthrough! Disregard the last post. Apparently how deep the brush embeds is dependent on how large the zsphere was drawn at, put into edit mode and begun zsketching on.
If I draw a small zsphere to begin with, press T and then shift-A, I get fat tubes of zsketch on top, even at -100. But if I draw a much larger zsphere, press T and shift-A, I can get depth of -100 to look the way it should. If I make it TOO big, even values of -90 or -80 will not show, because the zsketch is embedded too far inside.
The crazy thing is, once the depth works properly, I can start a new document with a new zsphere, even a small one, and the depth works properly still. No fat tubes or deep embeds.
If I restart the application, however, I will have to “calibrate” it again, by doing too small, too big and just the right size zsphere.
So far this hack works. Seems a bit unstable when editing armatures, but it might be workable. Needs more testing.
I seriously cannot believe I am the only one with this issue, since it feels very much like something buggy.