Most likely need to adjust the scale - looks like the default sizes in C4D are pretty big, with cubes being 200 cm (at least, in the way I have C4D set up). For me, a couple of cubes needed a Max Z in the 1000s of cm to show up due to that.
Also, not sure what you mean by "actual render with depth rendered into the beauty pass" - it doesn't change the beauty pass at all, but creates a separate multipass render with a greyscale image (white is close, black is far away, things in between are grey) which can be used in post processing.
EDIT - note to self, in case we consider changing the default value, internal 311268425