Life is tough, unspeakably horrible things happen daily. Never feeling happiness would be on the bad end of even that spectrum.
But nevertheless, as someone who is acutely aware that unspeakable horrors surround us, an accurate prediction of never feeling happiness again doesn't logically lead to feeling a sense of hopeless, so it doesn't follow that depressed people are more likely to be working from an accurate world model.
The logical thing to do is to either look for ways to feel happiness or ignore it and salvage some meaning from whatever is left besides happiness. Easier said than done I know, particularly for someone who is depressed. But logic is what it is.