Earlier this year, when looking at older maps, I noticed Venore had only one depot when implemented in Update 7.1 (Christmas Update 2002). I tried to determine when the second depot was implemented, but I was not able to find any info about this on old (archived) fansites. Talking with old players and even CipSoft didn't help, either.
This is how the original building looked like (on the minimap) when Venore was implemented.
However, I was able to find a couple of old screenshots taken inside Venore's second depot (thanks to Dark Gladir). By the old sprites on these screenshots, we can assume they were taken before the major update that followed Venore's implementation (Update 7.2 - Christmas Update 2003).
Screenshot taken inside Venore's second depot sometime between update 7.1 and 7.2.
Therefore, we can just assume that, after Venore's implementation, there was a need for more lockers and it was decided to transform the unused place under the bank into the second depot. Since no new objects/sprites were used on the new depot, this probably happened without the need of a client update, just like the implementations of Darashia and Rookgaard's premium area. This was probably seen as a small addition to the game which was considered not to be worth of being mentioned on an official news article.