Would it be ethical to subject someone to a virtual suicide they thought was real...in order to convince them to not attempt in the future? The technology seems to be getting to a place we could create such an experience, terrifying though it may be.

VR seems unnecessary. Just have a gun around with blank rounds.

At the range of direct contact to the head, the explosive force of a powder load is deadly whether or not there's a bullet along for the ride.

Good point. How about weakened blanks?

You'd think that once VR got to such an advanced state, we'd have already long before synthesized effective medications / electrical-magnetic therapies (e.g. shock therapy or TMS) to effectively treat depression enough that the VR suicide simulation would be pointless.

OTOH, the most effective treatments we have for depression are almost a century old, have tons of awful side effects, and were discovered by accident (i.e. MAOIs and electroconvulsive therapy), so I'm not too optimistic in the pharmaceutical and psychiatric industries.

Suicidality does not imply depression: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5116433/

Total Recall / P.K. Dick "We Can Remember It for You Wholesale".