If you haven't lived in a high-visibility, group-centric culture like this, you don't understand why it's not strange for those two things to go together at all.

There is no "should" with depression and mental illness. You could well say 'you "should" feel better because it's just chemicals in your brain and what you are feeling isn't really real', right? But depression comes in all shapes and sizes and doesn't make rational sense, which is why it can't be treated that way.