It isn't necessarily how the eyes themselves are deep-set or not. It's the bone structure surrounding the eyes. High, forward-projecting cheekbones and infraorbital rims create a relatively "deep-set" appearance. This is an aesthetic look not only because the eyes are relatively "deep-set" relative to the cheekbones, but because of the bone structure itself.
One could tell if a person has attractive eyes or not even when he is wearing sunglasses or if his eyes are censored out. This means that the appeal of the so-called "deep-set eyes" is largely influenced by the bone structure surrounding them.
"Deep-set eyes" is therefore a misnomer because it misses the big picture--how the bones surrounding the eyes play a large role in both structure and aesthetic appeal.