Depth of needle does not mean more blood, you want the lowest depth that provides a small amount usually about .5ml or so is all that is needed a tiny spot. Place the sensor strip upright in the blood spot, imagine a straw sucking up the blood.
Any failure will usually show an error code, this will tell you what is going wrong. when you've got the hang of it you'll probably laugh at your earlier attempts, you'll also laugh at the so called health professionals that usually don't have any idea also.