Depth buffers only work well for opaque objects, which cover each other completely. With partial coverage or blending, multiple objects could end up contributing to a pixel in an order-dependent way (e.g., if you're viewing an anti-aliased leaf edge under the surface of water through a window). The depth buffer, which only stores a single depth, doesn't solve this problem directly -- you can use it to render each transparent layer one-by-one ("depth peeling"), but this can be slow.

Depth buffer has an issue of scales: one thing is 1 meter away and another one is 1 million meters away with another several thousand billion meters away. That makes it practically unusable for global positioning (especially for things that are both far away, but another one is just a little bit further).

On the other hand sorting doesn't need to have a global axis - in the perfect case it just needs to compare two elements against each other.

For non-transparent models, to a degree it gets done by the depth buffer. For transparent models, depth buffer is not helpful.

But even when using the depth buffer, drawing in front-to-back order will drastically improve performance as fragment shaders don't have to run for occluded fragments that get depth culled.