Hi
I think that on one hand you are entitled to your pain. Depression does not choose between those who have "reasons to be depressed" and those who have "no reason to be depressed". We know we can have depression while we have " a perfect life".

On the other hand, I understand your reaction when you answered "I am OK" as modesty. Perhaps you instinctively chose not to say anything about you personal pain in front of (or in the event of being about meeting) somebody that has been through a lot and carries an incomensurable pain. Before a mother who lost her child every other mother that has not lost a child feels that she has no right to complain. I think this is related to empathy, "common sense" and even, "good modals" (good modals if your visitor was already at the church with you, I don't know) I think it is a common thing to feel that way. Perhaps society taught us to react that way.

But it is true that we often compare our pain to others'. And, as you say, it is a useless exercise because pain is subjective. On the other hand, many people like those who are in the church do not understand depression well. Perhaps telling people about our feelings due to depression does not help us, on the contrary. I am sorry to be rude but sometimes we have to hear all kind of stupid comments when we tell people about our depression. They do not understand that it is a mental health condition that cannot be removed at will. But, I think you are right when you feel prompted to tell the thruth about your feelings and not to just say "I am fine" when you are not OK. I think that telling our true feelings helps us to be better, in general. But you were under a particular circumstance (having a visitor who lost her child) so I think you did OK. I would have done the same.
Ok, sorry for my English, hope my post is not obscure.
Sending you a hug