I believe your question has been adequately answered, but I will iterate: A topological space is a pair consisting of a set of points and a subset of the powerset of the set of points with the property that each element of the set of points is contained in at least one element of this subset. (I.e., each point is present in at least one subset of the set of points that is deemed "open".) So the two members of the pair of a topological space are both classes, but only in the boring sense: all sets are classes.
It is worth pointing out that the set of "points" need not be points in what is normally considered a space. There is a surprising topological proof of the infinitude of primes where the topological space is the set of integers and the open sets are congruence classes of integers modulo various integers. One difficulty with your idea of specifying the "depth" of a set is that the integers, in their usual set theoretic model, has infinite depth, since incrementing an integer increases the depth by one. So as soon as you have the integers, you have infinite depth and then when you want to talk about actually large sets, annotating set depth becomes useless visual clutter.
In comments to another post, you object to defining classes via properties. Perhaps it would help if you understood how that is different from a thing being a set. A thing is a set if is constructed according to the axioms of your set theory. In, for instance ZF (abbreviating mightily), you get the empty set, an infinite set, and a few (fairly familiar ways) to construct new sets out of old sets. Only those things are sets.
A class is given by a decision procedure that, given a thing, determines whether that thing is a member of the class. All sets are classes because the procedure "verify that this is a member of this set" produces a class that is identical to the set. However, there are decision procedures that do not produce sets because the object they produce cannot be constructed by the axioms. Consequently, there are classes that are not sets. Then, the class is equivalent to its decision procedure -- i.e., each class is equivalent to the property expressed by its decision procedure. So a class, its decision procedure, and the property it encodes are all equivalent.