That study you linked does not establish a causal relationship. It may simply be that the sort of person who is able to extract well-being from church is the sort of person more likely to actually attend church with any regularity. It likewise does not address the possibility that depression itself might make one want to stop attending church.

>Millenial cynicism is so boring

Yeah, it's always Millennials who are in the wrong. Fuck us, right? It's all good, we're used to being the scapegoats for society's problems.