OK, so I pierced my own eyebrow because I have the stuff for it. And I'm curious if its not deep enough. How do I know? And if it is to shallow, can I keep it or should I take it out and let it heal?

This is why piercers go through months of training and gain a certificate.

You can take a chance and leave it in but it may migrate and try to push itself outwards leaving an even bigger scar.
My partner had this happen a few years back (trainee piercer did it) and over the coarse of a few months the skin got thinner and thinner until it eventually got ripped out.