I generally couldn't get into Millar's run because, to me, it represents the start of that overly childish aspect of Millar, the part that seemingly feels the need to shit on everything and throw all the toys out of the crib. It might may well have been more fun, but it just reeked of him taking a dump on the idea of old-style superheroes with his Avenger ripoffs and whatever, whereas Ellis seemed wise enough to not only not shit on the archetypes that had come before, because he was clever enough to realise that those characters had a kind of weight and power that his don't, but he didn't reference them at all.
But certainly, I think the Authority is very much a case of each to their own, in terms of the runs that have been created. No one I know likes Robbie Morrison's run, people tend to pick and choose between Ellis and Millar's run, the current run is liked overall, and I think I'm about the only person in the world who likes what Brubaker did, really.
But what you mention about depth in the characters, I do agree with that. Jenny Sparks, Swift and Hawksmoor were the only ones that had been developed up beforehand, and there was a little work for Midnighter and Apollo, but Ellis seemed more about recreating the idea of a blockbuster movie on the printed page. Indeed, I feel that his run on the Authority is a moderately more intelligent version of a Michael Bay film, very much heavy on the action and the like.
I still don't see how Warren Ellis hates superheroes, though.