A mall is a big open space. A place where you are not approached by others and asked questions that you are not 'well' enough to answer. There isn't the 'pressure' that a depressed person may feel from going to the Hall. The Kingdom Hall is smaller and can be very claustrophobic for a person suffering from depression.
I don't care for the mall, but I can testify to how claustrophobic the Kingdom Hall felt, especially after the Watchtower study that was telling me I wasn’t doing enough and pretty much doomed.