You haven’t indicated what laser you’re using. If it’s the GRBL device in your profile then the part you’re missing is that 3D Sliced engraving is only available on galvo lasers.
Diode lasers are not going to be great at this due to the way that they burn material. Some materials might work better for this than others. For example, I could see a foam like material allowing for some level of 3D engraving. This would require a bit of experimentation.
You could use grayscale images to affect relative intensity to affect burn depth.
CO2 lasers, in contrast, are fairly good at this and in fact do mult-level burning when using grayscale. However, that’s what makes them less ideal for grayscale images where you want a gradient of gray.