I work in mental health and frequently interact with people at some of the worst moments of their lives. I can tell you for certain that some people can take adversity in stride and continue to find meaning in life, while others crumble and fall into depression or anger or despair. I think a portion of the difference is genetic, as people often have a "baseline" level of contentment that's pretty consistent across their entire lives, but another portion is absolutely learned.
The people who struggle most almost universally have a trauma history as children and have difficulty with emotional regulation and distress tolerance, both of which they might not have had modeled for them growing up.
I agree with you 100% on this post. People go to therapy to tackle individual goals of all kinds, and encouraging people to stay feeling depressed because bad things exist in society is a toxic attitude. In a relationship, an attitude like that would be categorically abusive. Someone encouraging others to wallow in depression is only ever doing it for selfish reasons, e.g. to justify their own mental state, to feel less alone, or even possibly to derive pleasure from the suffering of others.