Not just those who are self employed, I think pretty much anyone that is human has probably felt depressed at one time or another. This seems similar to all the pharmaceutical commercials where they try to convince you that you need medication if you have ever felt tired, sore, nervous, etc.

It really does seem like a huge distraction from building a business that not only do you have to find and pay for health insurance, but that you have to run a gauntlet just for the opportunity to possibly be able to buy insurance.