I dont understand why youd want to move between layers at all. If a layer is over the main play layer then that layer should be considered to be a "not much of anything is higher into the 'sky' than this" the exception being sky/clouds etc.
You're right that there is no requirement to change layers. The issue is one of performance. If you are sorting every sprite in the layout, and you have a huge layout with hundreds of items, that is a lot of sorting! If you have the items divided between a three or four layers, then you only have to sort 1/3 or 1/4 of the items.
Anyway, I got it basically working with the player swapping layers based on Y. I have one more thing to iron out, and then I'll post it.
EDIT: Here is the version with the player moving between layers. Looks much more complex because of all of the text objects used to show what is going on (layer number, Y, number of sorted objects out of total scenery objects, and cumulative sorts). There are 138 scenery objects, and without dividing them between layers, they'd all be sorted on each collision. Dividing them between two layers cuts the number of sorts, but still not sure of the benefit of this...
DepthSortingLayerd3.capx
NOTE: When I say number of sorts, I guess I really mean the number of objects moved to the top or bottom of the layer as the result of a sort. The sort is actually sorting all SortedSprite objects, but they are only moved if they are on the player's layer.