Dark Depths doesn’t have a mana ability. It doesn’t tap for colorless mana.

If Dark Depths leaves the battlefield before its triggered ability resolves, you won’t be able to sacrifice it, so you won’t create Marit Lage.

The last ability of Dark Depths is a state trigger. It won’t trigger again while the ability is on the stack, but if the ability is countered and Dark Depths is still on the battlefield with no ice counters on it, it will trigger again immediately.