It basically means you included DT1, but not DT2. In
your Personal Trust depth list, it means the 559 users on Depth 2 weren't included. Even though you probably won't recognize most of them, the changes are significant.
Ok, but DT1 changes from time to time, so in that case, would my trust change accordingly? If I had a neutral feedback from user X who is on DT1, but he then got removed from DT1, would I miss the feedback from my profile?
I think "depth 1" should only be used if you have a very long custom Trust list. You may even go to "depth 0" (although I don't recommend that): it would mean you only see the feedback from users you've included by yourself, and ignore the Trust lists from the users on your own Trust list.
Yes, perfectly clear. It's all about the depth of the lists and how they intersect.