The backstory on Thorfinn made him well-developed. The backstory may have been generic for your tastes, but that doesn't make it non-existent. Thorkell has a background relating to Thor and Thorfinn as well, so he's not shallow either. He also has well-developed motives and various dimensions to his character.
Canute develops greatly as well. We learn his backstory, and as events progress in the plot his character traits change as well.
A shallow character, by any reasonable definition besides LOLOPINIONS, is one without a backstory, motive, changes in personality traits, and plausible motives. And all the characters in VS fit those criteria. For example, Askeladd had to serve a king to gain power, and as a result of his ambition he became the enemy of Thor and Thorfinn. That's a backstory. The change from seeing him as a character who only wants to help the Danes to one who actually hates them is character development. His motive to become a powerful leader is based in his distaste with the way the Danes run things. That's motive. That's every criteria, and I could do this for every character in VS.
As for the artwork, anyone whose studied art knows that there are several factors to determining the value of a piece. The skill used to create it, the insight for originality, and the meaning the artist intended it to have. The skill of VS artwork is shown in the detail and accurate anatomy. The originality is in the artstyle, which I admit isn't obvious but that is something that is a matter of taste in itself. The actual meaning the artist is getting across also is very successfully expressed because the action is intuitive and the character designs are fitting (and, again, original.)