At full throttle the depth won't matter as much for accuracy but if you're looking to tune part/light throttle conditions it's actually helpful to have more of the O2 sensor tip in the exhaust stream. There is a reason the bungs have a standard height.

I actually milled the bung depth down on a set of headpipes for my Harley as the closed loop control wasn't very good at light throttle due to poor O2 signal at low exhaust flows.