> all pages from it, and only all pages that are of
> this site) should I leave max mirror depth unset? 
Yes

> - for downloading the entire site + any first
> external link (that was linked from the main site),
extern depth = 1

> should I set max mirror depth to 2? Or is it about
> max external depth here? 
internal depth=2 will give you the starting page, first set of links
(internal) if external depth != 0, first set of external links from the main
page.