Yes, I think there is. If the hole is shallow, he can see the bait and easily grab it and run. He is most likely very cautious coming in, and is not hanging around any the set any longer than he has to.

The deep hole that looks like it goes somewhere creates intrigue and frustrates the coyote when he can't see or get to the bait. I always put bait on sheep's wools too.

He smells the sweet bait down the hole, digs, digs some more, shuffles his feet some and then BANG

Of course, you can't get a 24 inch hole in all soils. I try to put them in as deep as the soil allows.