There are certainly many theories, and depression is a complicated disease. It is primarily modified by neurotransmitters, however. That much should be clear. Beta adrenergic receptor sensitivity and downregulation are also involved - but to what extent? Hypersecretion of cortisol (or lack of cortisol suppression) is also a factor - but to what extent? Even thyroid hormones are implicated.
Like I said, I'm not saying there is no inflammatory problem in depression - I said that we have no antidepressants based on this idea (and as far as I know, there are none in the pipeline in at least Phase II trials). Do I think inflammation is involved? Yes, I do. Do I think it's directly going to lead to more treatments for depression? No, I don't.
Virtually every form of sensory stimulation has been shown to ease depression, from aromatherapy to acupuncture to exercise. What makes you think that neurotransmitters are the root cause of the problem? To me the fact that no matter how you mess with the neurotransmitters it eases depression shows that this is a function of sensory novelty, as opposed to some neurotransmitter imbalance being the root cause.
"There are certainly many theories, and depression is a complicated disease."
What makes you think it's a single disease?
The fact that taking drugs that mess with your neurotransmitter levels can sometimes alleviate depression doesn't prove, and isn't even particularly strong evidence for, the idea that depression is caused by some sort of neurotransmitter imbalance. Wearing perfume can also alleviate depression in some people, but it would be ridiculous to claim that depression is caused by a lack of Chanel No. 5.