I'm not depressive, and I haven't ever been, but 3 of my friends are, and I can tell you it isn't as simple as you make it seem.
Sure, I don't think depression is the way on, but it turns out it's very hard to avoid for them. I have my moments when I feel down - sometimes I don't even know why - and all my emotions well up in me and I just can't stop myself from crying and feeling angry. I guess that for people with depression it's based on that principle, except they are constantly reminded (or thinking) of their problems.
So, I don't think it's fair to say "it's stupid" and "they don't know how lucky they are to live in a first world country". It's basically the same as going up to someone who's crying over a relative's death and saying "stop crying, it's stupid, think about all the African children who have nothing to eat." Seriously. First of all, it's good to let them cry off the frustration, and second of all, telling them they live in a good country will not help. The way I see it, you can only be grateful for something if you have lived without it.
Okay, so that's all I wanted to say. Sorry if I seemed a bit aggressive or whatever, it's just I feel quite strongly about it.
