Let's look at section "Gut Microbiome Can Transfer Depression". They cite two animal studies. Two. Animal. One of them find their sucrose preference changes. This is dietary preference change. That bacteria changes dietary preferences is well established and we don't need to invoke depression to explain it. What about the other? "The forced swim test led to conflicting outcomes; the study in mice found an increased immobility time, associated with depressive-like behavior, whereas the rat study found no difference." Flimsy, flimsy, flimsy.
Until stronger evidence merge, I agree the most likely explanation is that depressed people eat junk food to comfort themselves, or because they are too depressed to give a shit what they do to their bodies.