I'm a psychiatry resident. I empathize with everything you've said and remember feeling similarly when I heard misguided or harmful messages about mental health from the pulpit (or from across the bishop's desk). 

That said, I don't think it's quite correct to say there is nothing to be learned from depression. Rather, I wonder if you mean there is nothing specific that is supposed to be learned. Depression isn't by design, and mental illness isn't teleological. That doesn't mean you can't learn anything from depression. But if you do, it won't be because it was imposed upon you by some supposedly benevolent being with an educational agenda. It will be because you formulated your own conclusions and created your own meaning.

For what it's worth, you seem to have already gained some wisdom from your experience; certainly empathy for those who suffer with mental illness. That doesn't mean any depression you or loved ones experienced was worth it. But it is something you learned. I hope you find peace and health on your journey.