What the Depths are
Cathedral Depths is the third node area, under the cathedral elevator, not a separate biome on the overworld map. You are linking nodes so the loom can run. Arriving with a short clock is the usual failure. The time bar turning red at the statue is the game telling you the price is higher than the loop you brought.
The developer’s public line was that the statue wanted much more than eight minutes. A later balance patch, 1.0.0.63, heavily nerfed the prayer statue at the bottom of the Depths. On 1.0.0.65 you are on the nerfed price. The exact minute count was never published, so this page will not invent one.
How players actually arrive
Thread replies describe two routes. Down: take the elevator two floors, pick up the key in the room Nova later uses, then go up one floor through the door that key opens, and you are under the elevator. Across: ride the elevator to the top and jump from the balcony toward the courtyard. Both are player-tested descriptions from the same stuck thread, including developer replies about the statue. The step-by-step of every platform is on the route page.