no, look at the shader workshop. if you want to use a 32-bit floating point texture (such as in this case), store the depth in the red channel. the others are redundant in this case, i'm pretty sure. you have to output a float4 colour (COLOR0 semantic) but in this case only the red matters.

julz

EDIT: not @ BoH_Havoc, who said what i said before but more clearly.