Most definitely mention this. This IS in fact a form of majoor depression.

People, it does you no world of good to keep secrets from your service provider. You aren't protecting yourself from anything. The only thing you are accomplishing is doing a diservice to yourself. There is no need to be embarassed; they have heard it all before. They are not there to judge you. They are there to help and they can't do that - including deciding on the best medication regimine - unless they know the whole story.