"Crazy" is probably the wrong word for me to use (I have been known for my hyperbole in speech). What I meant was that, from my point of view, having multiple depots is almost the same as having multiple directories at the root of a single depot. The Perforce Support article you linked to says the same thing.
Hence, I feel that having multiple depots on one Perforce server simply eats up client names and causes confusion among those who haven't learned the distinction between "depot" and "server".
Why is that "crazy"? AFAIK, depots are just an organizing mechanism, they don't have any effect on scalability.
http://kb.perforce.com/article/684