You are correct about what TreeViewExpandDepth should do. The reason it doesn't work in jsavard-subblue is because treeview is not being used there, its using <asp:Menu instread of <asp:TreeView
To make it use TreeView set UseTreeView="true"
But be aware that <asp:Menu is styled by stylemenu.css and <asp:TreeView is styled by styletreeview.css
So the TreeView will not be styled the same as the menu was after you change it.
Hope it helps,
ps, awesome gravatar!