People aren't okay with depression. They don't care about depression because it doesn't affect them directly, but it still carries a stigma.

Try having a casual office conversation about how you were sick last week. Compare the tenor of the conversation when the sickness is 'the flu' versus 'depressive episode'.

Every mental illness is stigmatised, it's just that some are more stigmatised than others because they're 'louder'. Part of this is due to mental illness being really hard to understand if you've never been exposed to it (as a sufferer or a loved one of a sufferer).