No. Animated depth sorting/draw order doesn't work when you use baking.
Baking is only a workaround for runtime independence. (ie, baked assets will work even if you remove the spine runtime, but you lose a lot of features.)
Unless you have a good reason for not using the Spine runtime, don't use baking. If you really want to use Mecanim, use SkeletonAnimator.

You have two options:
(a) SkeletonAnimation - the bare bones but customizable Spine-Unity animation state machine or
(b) SkeletonAnimator - Spine-Unity rendering with Unity's Mecanim animation state machine

Right click on the SkeletonDataAsset (the asset with the red spine logo) and use one of the Spine>Instantiate options.