Ticket to Ride, Warehouses and Depots: How to collect train cards?
This is exactly how it works by the rules. Yes, you can clear your warehouse whenever you want, but by doing so you expend 2 out of 5 of your depots, so you probably also give up a bonus 10 points for having the most depots by the end of the game.

Compare this to claiming cards from already placed depot: you can still do that instantly just by connecting route there and spending 1 depot. It isn't that much different.