Kinect2 - Depth Image Mapping

You need to hook a Camera to your Renderer so you can look at your scene from different angles to see the 3D shape. I like Camera (Transform Orbit) myself.

I think that “grey blanket” you are seeing is where the mesh does not exist or is flat because the Kinect depth points were outside limits. Try playing with those input parameters to the Mesh node.

And for a shader, try something simple first like Constant. Then if you want to do a topo-map kind of thing, look at ConstantProjection (DX11.Effect).