I see your point but also encourage a listen to The Odyssey.
Yes, the lyrics to the Odyssey are very high quality in my opinion, at least for what they are trying to communicate.
But "deepness" it is a matter of degree. You simply cannot develop ideas, characters, relationships, or anything too deeply if you are limited to a relative handful of words set to music. The Odyssey lyrics have "only" ~700 words, fewer if you remove the repetition. A skilled author can do much more with tens or hundreds of thousands of words, which is simply not feasible in a musical composition like this. Or think of a video production where each picture is worth a thousand words. (OK, that last comment was bad, but you get the point.)
Sure, there is some synergy between the music and the lyrics that reduce the number of words required to portray some of the same ideas, but can it make up for having fewer words/pictures/etc. by a factor of 1000?
Another thing to keep in mind about Odyssey lyrics is that they borrow heavily from the original works of Homer. Homer's work contained 12110 lines. Symphony X were able to portray many of the same ideas in much fewer words because we are familiar with the original. They did a brilliant job. Michael Romeo said it himself: "The story of Odysseus journey painted a huge mental picture that, eventually, transformed itself into the music."
Can you imagine this: What if Symphony X instead wrote that song about some ancient Chinese epic that is equally as complex, exciting, emotional, etc. but none of us knew anything about it. I'm not saying that it would completely change the song, but I suspect that it would diminish my perception of the ideas communicated by the song. (Can you hear it: "Triumphant Champion of Guangzhou".)
I've heard that Symphony X always writes the music first, and then the lyrics follow. I think that makes them an afterthought, by definition. It would seem that the "deepness" of the lyrics are handicapped right out of the gate. I personally could not imagine writing the music first and then trying to compose lyrics to the music, but I'm not talented like these guys.
(For those who want to argue that "deepness" is subjective, I agree, but unless we agree that there is some objective metric for information content or whatever, then the whole discussion is meaningless and bit like religion.)