I don't believe liquidity necessarily has anything to do with efficiency, but more liquidity can never hurt. Even if the price of every stock right now is 100x what it should be, I still want lower spreads.
And to address your concerns about depth, I believe that's where market makers (which are related to HFT) come in.
Everything is about costs and benefits. It doesn't make sense to say "I want an improvement in X, no matter how small" without regard to cost, because as X becomes tiny, a very small cost could mean a net loss to society, and multiplied by lots of people, is a large loss.
Look at gas stations. If people are spending $1 driving around to save $0.10, then that's not good and at least public policy shouldn't encourage it.
And to address your concerns about depth, I believe that's where market makers (which are related to HFT) come in.