People with major depression want to kill ourselves anyway. I don’t really see any style of tempered advice as being harmful in itself. What’s really harmful is socially pressuring anybody to stick to any approach they find to be harmful for themselves.
Going to a mental health professional requires time to see results. It also requires being with the right person. Medication won't instantly make you feel better (for longer than the short term), it requires the correct dosage, correct type, etc. The "working out, eating right, plenty of sleep" method may show results but it also takes a lot of time and persistence to see those results.
I am not saying that any of these solutions will work for everyone. I am just saying that any of these solutions takes trial and error. Some people go see a therapist once, don't make a connection, and declare that it doesn't work for them. It will take time. It is a process. Again, everyone is different and need to find what works for them, but whatever it is, they need to stick with it. I know it can be overbearing, but it comes from a place of compassion and concern. No one who cares about you wants to see you depressed. How would you prefer that they approach it?