I agree— you can't have a good relationship without having clear lines of communication.
It could be a lot of things, but without a doubt, having a child around someone who is depressed and hurting can be very confusing for the child. But it doesn't mean he's ashamed of you, or doesn't love you, etc. Maybe he just sees it as a way to protect his daughter (from your illness, NOT you), or he wants to ease her into meeting you over time.
I'm sure you're a lovely person, but we have to think about things in our significant others' shoes; being in a relationship with someone who is depressed can be very difficult and challenging. I'm sure my boyfriend worried about my meeting his family, and has wanted to jump ship on more than one occasion. But you know what? He's still here.
Try not to come to any conclusions on your own—just think positively about getting better, talk to him about how he's feeling, and keep up with that appointment and getting better, one day at a time. Whatever his response, don't let it get you down.
Just remember, you're doing this (getting help, that is) for YOU, not for him. That's just some icing on the cake. And cake is good with OR without frosting anyway :]