I'm actually kind of with Yellowcat on this one. If I had to choose between a depressed person killing themselves in a messy/unpleasant way and their family finding their body versus a depressed person taking a cyanide pill (or whatever), I'd choose the latter.
The main objection, though, is that depression─while not simply treatable─is not a terminal disease. Yes, people who are depressed can and do kill themselves. But unlike something like cancer, it's not the disease itself that kills the person. It gets really tricky here, though. With AIDS, for example, you don't really die of AIDS─you die of complications from AIDS. In other words, AIDS doesn't kill you; instead your immune system just sort of shuts down (as I understand it, at least─I'm not that kind of a doctor) and some other ailment ends up getting you. So it's the symptoms of AIDS that kills you rather than the disease itself.
But taking a step back from all this, I can imagine someone who is in perfect physical health but simply doesn't want to be alive anymore. Furthermore, I can imagine some compelling cases for wanting to die. It makes me sad, but there are genuinely plenty of people who just don't have anything to live for.
Again, things get really messy here. But not as messy as someone killing themselves and having their family/friends/etc. find the body. That's horrifying. If someone is determined to commit suicide, why not provide them a means to do so that will be effective, quick, and less horrifying to those around them?
As for the wonderful question nicho poses:
Is it true to say that all depressed people are not cognizant of their own/rational enough to make their own choices?
My intuition is that the above is false. While there are plenty of people who aren't making the right decision in killing themselves, I do think that some people might be purely rational and objectively justified in such a decision. I base this, of course, on absolutely nothing other than intuition and armchair psychology. Presumably if such an option was available (a 'suicide pill', if you will), the individual would need to go through some sort of interview process. After this process, they could either be referred to counseling or to get assistance with making preparations for their death. It certainly wouldn't be anything like the suicide booth from Futurama