Of course there is a stigma with depression and mental illness. Tell that to the 250 people that were murdered on the German airlines with the mentally ill pilot dealing with depression who flew the plane into a side of a mountain.
Tell that to the mother of the child that had his brains eaten by a depressed mentally ill bus passenger. 
Tell that to the young cop that had a mentally ill individual take his life early by being run over by a snowplow.
Tell,that to the many victims shot to death by the mentally ill dealing with depression every day in rthe USA.
The stigma is there and will continue to be there.