That's true, but not specific to sleep deprivation - other methods of easing depression such as SSRI also increase the likelihood of self-harm. I would imagine sports can have similar effect.

My pet theory is that there are several conditions that look like "depression", one of them is produced by the body to prevent self-harm resulting from acute anxiety. This theory has two important consequences:

1) Trying to ease certain kinds of depression via medication or other direct-action tools is likely to cause unintended side-effects (self-harm, anxiety, mania) that the depression was there to prevent.

2) The body will fight back against any direct intervention, trying to reinstate control over unbalanced psyche, e.g. building up tolerance to medication. A more fruitful approach would be to locate and eviscerate the underlying anxiety-inducing problem; the depression should then lift on its own accord.

Like I said, it's just a pet theory, but it leads itself to validation.