The explanation I have seen (and used) is that depression, like diabetes, is treated, not cured. And although some people are able to go medication-free (due to behavior modification, life-changes, whatever) or have short-term issues (post-partum depression, depression associated with trauma, etc.) many chronically depressed ultimately spiral and decide that the pluses of meds are worth the minuses.

Not only do the synapses release serotonin* too rapidly, but chronic depression is associated over time (and untreated) with a decrease in numbers of serotonin receptors. So it's a doubly vicious mechanism.

_{Aw, darn. I no longer have my Paxil icon. ;)}

*Serotonin is the best known, but research is pretty solid implicating dopamine and norepi receptors as well.