I suspect that this is because most patients don't have the patience or wherewithal to try enough different kinds, or a doctor who is willing to combine them with benzos. The patient's patience is especially relevant since when you are depressed, the last thing in the world that you need is to add extra suffering from side-effects to your list of woes. Or at least that has been my personal experience. After a few bad experiences, I was very reluctant to try additional antidepressants, and after having become dependent on Ativan once, I vowed to never allow that to happen again either.
Ultimately though, I tried just about every modern antidepressant before finding one that worked, and I know people who had to go to tricyclics, which has caused them to become fat, but happy. Each of the antidepressants I tried affected me differently. But at this point, I am very relieved to know that if I become depressed again, there is a drug that I know for sure works for me. Knowing that is a huge weight off of my shoulders. Though having to look forward to weaning off of benzos again puts some of that weight back.
More recently I tried ketamine when I was worried that I was going to become depressed due to an unfortunate life circumstance. I'm here to say that it apparently worked as well as hyped since I never became at all depressed during a situation that would typically have sent me into a downward spiral. And with no ill side effects too boot. Too bad it's not legal....
Of course, trying many different antidepressants is not without its risks, as I alluded to previously.