The ends don't justify the means for me. The study hopes to gain a better understanding of the early causes of anxiety and depression. We're not saving the human race here, we're not necessarily even saving lives.
Even if a new treatment for depression were developed due to this research (which it probably won't), and you were clinically depressed, would you want to receive it knowing it was came about after the torture and eventual deaths of 20 baby monkeys? I wouldn't feel comfortable with that.