Of course, intranasal steroids have the same problem. As do all allergy medicines. As do all medications which treat symptoms that can only reasonably be tested by patient's perceptions of outcomes. But don't let that slow you down.
The difference is:
There is no/little attempt by the doctor to determine the cause of depression other than spouting the nonsense of “it’s a chemical imbalance”. The patient is left to tough it out thinking it’s a physical issue when in most cases it’s a family/job/life issue.
That’s the difference - you don’t take an allergy medication thinking it’s going to fix the problem - you take it because the symptoms are causing misery in your life. You have no expectation that the medicine is for anything other than ameliorating symptoms - unlike the way anti-psychotic medicines are “sold” to patients.