In studies on wake therapy I've seen, there is a percentage that have long-lasting positive improvement from just one night of sleep deprivation.
Depression studies are basically useless without a control group. In any given depression cohort, a number of patients will spontaneously improve even if they receive placebo or no treatment at all. For many (lucky) people, depressive episodes simply resolve after some time, so capturing them in studies without control groups can produce misleading results.