Is there an advantage to creating a deeper poke for a baked potato or is piercing the skin is enough? Will a deeper poke dry it out? 

The purpose of piercing the potato is so there will be tiny ventilation-type ports for the steam to escape the potato in a controlled manner during cooking. If this is not done, then the heat and steam generated within the baking potato (in a regular/convection or microwave oven) often can cause the potato to suddenly burst and tear open, making a mess in the oven and rendering the potato nearly unusable. No need to worry about the deeper poke, I always just poke it deep enough to pierce the potato skin. I prefer to do a just a few quick pokes on both sides and one on each end of the potato, just for good measure. Also, always cook a baked potato as-is, never wrap the potato in foil, as this creates its own, adverse results:

https://idahopotato.com/dr-potato/how-do-you-cook-a-baked-potato

https://idahopotato.com/dr-potato/why-i-do-not-recommend-baking-potatoes-in-aluminum-foil