I think the mistake many people make is considering depression as just a more extreme degree of normal unhappiness, instead of a mental illness that stands apart from that. It's not like 'with moderate problems comes moderate unhappiness and with big problems comes depression, so if someone can have big problems without depression then so can you'. I have the luck not to be very familiar with depression though, so this is a bit of guesswork.
Also, reading about those fantasy worlds brings back my childhood. I used to do exactly the same thing, crafted elaborate worlds for my alter ego, mainly every night when I coudn't sleep. At some point those fantasies started taking place in the 'normal' world and eventually they mostly disappeared, it makes me a bit nostalgic
