Because he's making glib claims about a very important topic that aren't supported by the evidence. The only studies I could find on keto and depression were conducted on rats; I couldn't find anything on the paleo diet and I'm not even sure we agree on a definition of what paleo is. Veganism may actually make matters worse, because there's a real risk of developing a vitamin D or B12 deficiency if you aren't careful.

The evidence linking diet and depression is really very limited. Serious malnutrition can cause depression, a sensible balanced diet won't do you any harm, but any other statement about depression and diet has little or no basis in fact.