> "Maximum external depth: 0"
> "Get non-HTML files related to a link, e.g. external .ZIP or pictures"
> When set together, they seem to contradict each other.

The first (Get non-HTML files ..) is prioritary.

"External depth" should not be used anymore by the way - this option is a
legacy option, neither suitable nor really useful because of scan rules,
generally powerful enough to fit all needs.