COLOR2 isn't a depth buffer. It's just a colour buffer on slot 2.
What does mean "output a stencil value on a float2"? What samplers are you talking about?
On the OUTPUT of a pixel shader, there's 0-1 depth-stencil target and 0-8 colour render targets. Stencil and depth are implicit, i.e. depend on the fragment position and external stencil settings, i.e. you cannot set them manually in your pixel shader, there's specialised HW handling them; the colours are explicit and you must calculate them in the pixel shader.
On the INPUT to any shader, there's 0-128 of textures (I'm simplifying). Some of those textures can be the same memory as your render targets or depth-stencil targets.
A sampler is a recipe to sample the neighbourhood (neighbouring pixels and neighbouring mipmaps) at a UV coordinate on your texture to fetch you a colour. Any texture can be sampled with any sampler. Example samplers are: point, bilinear, anisotropic, etc.
The definition of a sampler in GLSL (texture + recipe) and in HLSL (recipe only) is fundamentally different, watch out.