The limit for newly certified Open Water divers is generally regarded as being 60 ft. Beyond that, experience, an Advanced Open Water course and/or a Deep Diving course is recommended. With that certification the practical limit for recreational diving is 100 to 130 ft. Beyond that nitrogen narcosis becomes a significant factor, gas consumption requires very careful planning and the NDL's are very short making decompression more likely with additional training equipment requirements.
So if you are planning to dive below 100-130 ft, doubles and technical training in deco procedues and advanced nitrox/accellerated decompression suddenly becomes very relavent. Below about 150 ft trimix is very attractive.
Normally a pony is entirely independent. I have heard of one system though that uses a connection to a high pressure port and a check valve to keep the pony topped off from the primary first stage regulator. In my opinion, though it adds an unnecessary level of complexity to the pony system. When it comes to redundancy you want reliability and simplicity, not high tech for the sake of having high tech.