I have had a little play with the method and I have come to the following conclusion. Given 10 sprites in the manager each with depth 1 greater than the last (i.e depths 0-9). Then the following results.
when depth = 0, side = 0, all sprites are drawn.
when depth = 5, side = 1, then all sprites with a depth of 5 or less are drawn.
when depth = 5, side = 2, then all sprites with a depth greater than 5 are drawn.
So I believe this method draws all sprites registered with cSpriteMgrEx split at specified depth <= or > than specified depth.
Some official clarification would be appreciated.