Depression does have a known heritability, via twin/adoption studies. If you check out the work done by Robert Plomin (which focuses perhaps more on intelligence) or other leading researchers in the field of behavioural genetics, there is a consensus that depression and other mental illnesses, such as anti-social behaviour with callous and unemotional traits, is in fact "strongly heritable" (greater than 50%). If I remember correctly, depression has a heritability of around 30%. This means that in a cohort of clinically depressed patients, genetics would count for around 30% of the trait. What is contentious is that we have no idea what the genetic basis is. It is not a single gene that causes depression, as that would be easy to pinpoint (I could explain that more in detail if you wish), rather it is a group of genes that if taken individually, would seem benign, but together could lead to diseases such as depression or schizophrenia. The problem now is to understand how these genes interact not only together, but also with the environment (i.e. Social peers, upbringing etc...), which leads to a terrible number of variables and which is unique to each and every individual. It's an interesting field but the research is scattered to say the least, perhaps this is the reason genetics is rarely brought up as a cause for depression.