Do I have to worry about the depletion of IPv4 addresses in embedded applications?
No.

IPv4 isn't going away any time soon.
If you are concerned about IPv6 compatability, have a look at uIP.

Here's a thread from comp.arch.embedded about embedded IPv6 stacks.

In my experience, most embedded devices which are not explicitly for networking (routers, gateways, switches) are behind NAT. So, running out of IPv4 addresses is not an issue.