Because depression isn't a disability. We can debate whether or not its an illness, but thats different. And I too suffered with depression some 20 odd years ago when I got divorced, and spent 6 weeks homeless, and the consequences that came with it, still didn't miss work or claim benefits, I just upset a few customers along the way.
If someone is depressed, yes they need help, they don't need to be resigned to a life on benefits.
And then you have to question if someone is genuinely depressed if they spend their days riding their own horses. Not wanting to generalise, but not knowing all the facts, I would guess there are people who may have more pressing reasons for depression.