No - there is no setting to import depth as feet from GPX files. The GPX format actually specifies metres as the units for height fields such as elevation, but since depth is not a core part of the format (and is provided by proprietary extensions), then arguably it is up to the writer if they want to use a different standard.
The only workaround I can suggest is that you import the data as metres, save the track in the CSV format (also in metres) and then reimport the CSV file but specify feet as the units. This should leave you with the correct depths.
