Depression is not just sadness. Sometimes a person can say that they haven't felt sad but they have felt emotionally empty or numb. It's like you can't feel happy or sad. Also as some of the other people said anxiety and depression occur together all the time. When I picked up my emotional cold (depression), I started worrying about everything which gave me headaches. I found myself having to force my mind to stop worrying and re-focus on what I'm doing only to find my mind going back to incessant worrying.
As for the angry question, I think you can just tell her that you don't feel comfortable with that question. I developed the ability to tell her things like that about six months ago. The first time, I wrote her a letter and read it to her in the next session.