A check

A friend says: just be grateful, there are people far worse off. Why does that not help?

Because it is against the religionBecause depression removes the capacity to feel, so it asks for the one thing the illness has takenBecause the friend does not really careBecause gratitude is not important
Not quite

The advice asks for an emotional output from a system that has stopped producing emotional output. That is the definition of the symptom. It also adds guilt on top, because now there is a second failure to account for. The friend usually does care, which is exactly why this is worth explaining to them rather than resenting.