Major depression is an illness. One might say: "I shouldn't have diabetes" too. But by saying that, they would most likely not be suggesting perhaps they were at fault. They might be suggesting it's "not fair" which is also a debatable proposition.

When one succumbs to major depression, one may say I shouldn't be depressed. But by saying so, one cannot mean that one should not have depression any more than one can say s/he should not have diabetes. Does this make sense?