Question: In what particular situation you will need a depth knowledge of math/physics in software engineering?

Answer: 
Depends a bit on your line of work. If your trying to implement some kind of gravitational model for a game engine, knowledge of physics will surely help. 

I think knowledge of math is required however, you will always encounter some problems that have to do with mathematics. For instance, I work as a web developer; for one client we had to make a tool/feature on his website that calculates distances between to places. But the programmer didn't know how to implement/use Pythagoras theorem...
Programming is basically thinking in an organised way about a problem. Math and physics are fields where you need to think pretty clearly too. So if you know some math, it will be useful to you because you'll have learned how to structure problems and solve them.

As for specific mathematical concepts, math is such a wide field that whatever specialised topic you might end up programming, you'll have to pick up a book and learn it. For instance, I did an engineering course with loads and loads of physics and math, but I had to learn all the financial mathematics when I started work, because that kind of thing is pretty specialised. But not hard to learn if you're used to thinking in an organised way.