We have discussed the subject of depression just recently, but as to within JW's. As a JW, the only hope is for the "new system", and everything in this system stinks. There is nothing good anywhere but within the organization. Satan is trying to "devour" you around every turn. It's no wonder so many JW's are on meds. I recall one elder telling us he forgot his "prozac" one time, and nearly every sister in the cargroup offered him one of hers. I don't think it is just among JW's, but I do think it is a problem. Also, the fact that so many downtrodden, lonely people are drawn to the paradise hope, just around the corner, could contribute.
Among those who have finally left the WT, I do think all go through a certain amount of depression, for the reasons you stated. I think most of us are angry when first finding out how deceived we were. I also think it is important to do research, to come to grips with various issues, and resolve them in our minds. I think many "throw the baby out with the bathwater", thinking everything spiritual is a lie.
Personally, I've gained great comfort from private Bible reading, from various translations, and it's really answered many questions.
For what its worth...
Peep