It consumes its health pool to shoot. It only has enough health for one shot when you only put one zap. If you zap it again, it will grow and be able to sustain more than one shot; more zaps, more health and damage. You can upgrade the wand to get the crystal to a higher (more advanced) level doing more damage and sustaining more shots before dying: A wand+0 can support a crystal of level 2, +1 can support level 3, and so on. You can alternatively place more lower-level crystals (eg., a +2 wand could place 2 level 2 crystal sentries) and that's where "heals all on current depth" comes in. It's dying in one turn and not advanced because you haven't invested more than one zap on it. The whole idea with this wand is that you're investing turns spent zapping up front to get that time/turn investment back in the form of damage, sort of like an action-economy battery.

To add to other comments:

• This wand is much more useful when upgraded, since you get more powerful wards/sentries.
• The first three zaps produce wards, which shoot a specific number of times.
• The next three zaps produce sentries, which will zap once every two turns until killed.
• You can place wards anywhere you have vision, even across walls.

I've tried playing with a staff of warding once or twice, but I don't think I've managed to win yet. It's a fun wand but it requires planning and careful management of charges. One thing I enjoyed doing was placing a couple of sentries in a spot that mob patrols would frequent. No more random mobs to worry about!

Also don't use it near enemies, since they can attack it and generally will one shot it. Place it several times away so that it can get it's shots off first.

Upgrade your wand and investigate how the wand mechanics work. Warding is a great wand but takes time to learn well.