Attached is a patch for mb-depth.el that lets users customize the depth
indicator (its form and face). These are currently hard-coded.

See also the thread "feature request: indicator of minibuffer-recursion depth"
from a year ago:
http://lists.gnu.org/archive/html/emacs-devel/2007-06/msg00304.html. That thread
petered out, but there was at least some agreement that users should be able to
customize this in some way.