HOWEVER, this situation COULD arise in normal gameplay:
France besieges the city, breaks in, and leaves a garrison behind.
Spain later besieges the city, fails to break or destroy the french force, and so is left outside the city.
Spain, on a later turn, builds a depot in this area.
Finally, Spain leaves the area completely, but leaves the depot behind.
So, the picture, by itself, is not illegal. However, the description the OP used of the events makes it so.
Your perfectly right
The depot is not in itself illegal, its the placement of it that is the problem. As a matter of fact once placed a depot never check its own legality, it only checks if its connected to a supply source. A depot is only removed by choice or by force - the only exception from this is a depot placed on a ship at sea that moves, but even this can be seen as a its being removed by choice/force depending on circumstances.
