yes, with a plugin that modifies attributes. see attached file
just put it into your Sketchup 'plugins' folder and restart sketchup.

now you will see the item 'Edit Attributes' in the context menu.

to change a hole depth it HAS TO BE a hole that already has a depth set when it was created.
holes with no depth set do not have the correct attribute so you cannot edit it (and you cannot add it).

1. the hole is a group so double click it to edit group
2. right click the central purple line
3. select Edit Attributes then 'Get Attributes'
4. edit the number next to 'plunge_depth_factor'
5. click Ok

if you are doing a lot of holes with the depth set then it is easier to pre-create a pattern of holes and then move them to the desired positions.

1. select plunge tool
2. set depth
3. hold ALT and click somewhere off the parts.
4. set the parameters so you get the number of holes you need
5. now use the move tool to move those holes to wherever they are needed.

another way to do variable depth holes is to let them all be 100% depth, group same depth holes together, set the material thickness to the depth of the holes, select the group and then generate Gcode. after generating a file for each group of holes you can use the joiner to join the files into one job. (to generate all the other cuts just select everything EXCEPT the groups of holes).

this video illustrates using the joiner