Huge difference between "feeling depressed" and "being unable to function on a daily basis due to a medical condition called depression".

Sick leave is appropriate if a person is sick. Depression can take over your life and make you unable to work. If sick leave does not exist for a depressed person they either become dependent on family or just get fired, risking homelessness, credit problems, increased chances of suicide etc.

In some countries and jobs ... well, that's what happens. But some places treat sick leave differently and if a doctor says you are sick you can get a lot of paid leave in order to recover.