Far be it for me to inject any logic into this discussion but ... why? Why would a guy who so enjoys his private life in Europe, drag himself to Walt Disney World so that he could dress up as a character he's spent most of the past several years being and wander through a Halloween party? He has no history or reputation of being someone who thrives on sneaking around as a character while everyone else is oblivious. He has no history of doing this type of thing anywhere, in any role ever -- including roles that would just BEG for a "surprise appearance" somewhere, like, say, Willy Wonka.
On top of that ... why would
Disney allow it unless they were going to promote the heck out of it as a way to sell out Halloween parties. I mean ... if he's "unannounced", what's to stop there from being two Jack Sparrows on the street at the same time? And if Depp decides he's just going to wander around on his whim throughout the party, how does Disney schedule when and where
their Jack can Meet & Greet with Guests? And honestly ... I can't see Johnny Depp being so unprofessional as to decide that just because HE wants to wander around a theme park dressed as a pirate for a night, every other aspect of where or when Jack Sparrow appears -- and the efforts of the other folks who portray him -- will need to be adjusted and rescheduled. Depp has never shown himself to have that kind of ego.
I'm thinking either OP's source is non-existent and OP is just having fun, or someone is playing a "trick" and not a "treat" on OP's source. (Which is how the rumor gets started every year. It's a popular urban legend at MK.)