How to provide a simple but satisfying explanation for the depression?
The water is responding to the forces it can "feel" locally. There is no way for the water to feel the absolute height from the earth's centre, so it isn't related to that.
The two forces water can feel are the earth spinning (which leads to the sea level being higher from the centre of the earth at the equator), and gravity. Those two forces combine to create a net force on a body we call weight. At sea level this weight is the same. I guess it's where a mass of 1kg == 1kg of weight. So sea level is really "geocentric equipotential ellipsoid" (to give it it's formal name) around the planet where this force (gravity - spin) has some defined value.
Calculating this ellipsoid (ie, the height above the centre of the earth where 1kg mass == 1kg weight) is a complex process as it depends on mountains, rock composition and lots of other stuff. For example, at the equator it's 21km further from the centre of the earth than at the poles, in this depression it's 100m lower than most places at the same latitude, and at the Himalayas it's higher than the surrounding plains because their mass increases gravity.
We have maps of this geocentric equipotential ellipsoid whose names you may recognise. WGS84 for example is used by GPS as it's definition of sea level. When GPS says "your height is ....", it's not giving you a distance from the centre of the earth, it's your distance from the WGS84 ellipsoid. In this depression it will be 0 if you are standing on the surface of the ocean, despite you being 100m closer to the centre of the earth than somewhere a few hundred km away.