If I had to guess - it's a mixture of the underlying mechanism still being very poorly understood which makes it very hard to treat. Likely a lot of people experiencing what we classify as depression are actually experiencing similar symptoms of highly variable underlying causes.

Also, for a long time mental health was handled atrociously by society so people are (reasonably) sensitive to that and there's maybe a little bit of an overcorrection on this culturally where people are now afraid to suggest that there's any agency here at all.

Hopefully as we get some real empirical understanding of how our minds work we'll be able to relieve a lot of suffering. As it stands, psychology feels like medicine prior to germ theory (at least to me) - we have some treatments that seem to help, but barely know why.