The first option (color depth) signifies how many different colors the computer can actually display. The second option (texture depth) tells you how many bpp the actual source files of the textures (can) have.
I don't think there's any point in selecting 32bpp textures when displaying them at less than 32bpp. On the other hand, I could imagine it could make sense to use 16bpp textures on a 32bpp display, since the texture colors are modified by the engine, and a 32bpp color depth will result in much more pleasing progressions.