The opinions that he expresses are lacking in intellectual depth.
Lacking in your example is a ‘deverbal adjective’—a participle which has lost all sense of its verbal origin. When it takes a complement this must be expressed as a preposition phrase with in.
The verb lack takes an ordinary Direct Object. However, it is stative, like live or know, so it is not ordinarily cast in the progressive construction. If you want to use the verb you should employ the simple construction:
The opinions that he expresses lack intellectual depth.
The senses of the two expressions, adjective and verb, are slightly different. The adjective lacking implies a deficiency: his opinions have insufficient intellectual depth. The verb lack implies complete absence: his opinions have no intellectual depth.
ADDED:
The noun lack, derived from the verb, ordinarily expresses its object with of:
His lack of intellectual depth is depressing."
A noun derived from a transitive verb usually (but not always) expresses its object with of. But other prepositions may be employed to express nuance. For instance, lack may also take an object with in, to express the same deficiency as the deverbal adjective:
A certain lack in intellectual depth is evident in his opinions.