I tried it and get similar results. It could be a bug but I believe it is working as designed and has had this behavior for a long time. Depth first or level first appears to apply to seperate regions but not within a region itself. If this is not a bug then it would be a good enhancement request.
Perhaps someone else can get a different result than I?
Planar Mill, Depth first needs a Blank Distance value to work.
1. Planar mill, need to set Cutting Parameters, Strategy, Blank, Blank Distance value. Just so it isn't 0. Older Planar Mill routines do not see stock, you have to give it some. Then it works. When doing additional passes, the Blank setting has to be large enough to cover the extra passes.
2. I found using "Standard Drive" motion works in many cases, without Blank Distance value. May not be the motion you want.
3. Planar Profile is better at doing it. Newer code.
4. Don't see the option yet in 12.0.2 Mill Planar. But 11.02 and on, in Floor Wall IPW, with Profiles, use "Ramp By Depth or Angle" and it does depth first. Also may want to use Cutting, Containment, Blank, use Thickness and set Floor/wall values. Floor Wall IPW process much faster using Thickness. It may give a false error about flute length shorter than depth of cut (total depth) in NX11.0.2, but no false error in 12.0.2.