Depp is an actor who tends to deeply identify with whatever character he portrays, connecting with them to a degree where I think he feels he understands them totally. He was even saying nice things about Whitey Bulger, the Irish gangster, saying he was not really a bad guy, and I think he even said that he wished Bulger had never gotten caught. But that last part is from my uncertain memory.
Its called *acting*, dear boy
Actually, what Depp said about Bulgar is what every actor is taught: in order to play even an evil person, you must see his humanity and express it. Because no one believes that they are evil. People believe their motives are good even when they are not.