As I understand, deeper mounting allows for less attenuation of treble and mid bass and less room for occlusion in the outer ear canal, so the end result is cleaner sound.
Shallow mounting seals less so above mentioned areas attenuate a bit, but to my ears it allows your unique HRTF to influence the signal more, making the sound slightly more natural, for lack of a better concept. I perceive improved stage width and imaging when mounting IEMs shallow.
This may differ due to IEMs being designed differently, these are just observations from my experience with my IEMs.