That's not true. At the end of the game (well, after hojo's battle), Cloud finds himself and he changes, he is not sad or confussed anymore and he arrives to a "stable" status near to the happiness. Advent Children ruined all the character's development showing us a sad Cloud.
Pretty sure the depression was a side effect of geostigma. Like people were suffering from mental illness before turning into goop. Advent Children complete explained this better I believe. Look how irrational/sad everyone who had the stigma behaved ( except Rufus).
Btw, I really hope we get extra Rufus and the turks scenes. Nomura pls.