I am. But it is my choice. I figured I had some other issues going on that I felt I would benefit from continued counseling so I've been 3 times and will likely continue to go through my surgery date. But, she already cleared me as a good candidate, so I am not in the same boat as you. I would ask him point blank why he feels the depression concerns him? If it is related to the surgery or to your weight in general - then maybe that is his concern? I don't know how a psychologist determines whether or not you are a good candidate.
A friend of mine started her WLS journey about 10 months ago, and is still not ready for surgery. But - she had some issues relating to fear of surgery and also with respects to growing up and hating her body because of how her parents treated her. She told me that she too wasn't cleared, but she totally understands that she needs this counseling in order to have a productive surgery.