8. "At least you don't have [other mental illness]."
Rejoicing in the fact that someone does not have another mental illness is a foolish thing to do for many reasons. For one, that implies that you do not view depression as comparably serious as other mental illnesses, which belittles their struggle. Secondly, they might have the other mental illness. Just because you have depression does not mean you cannot also have schizophrenia, BPD, ADD, etc.
Alternative: Do not compare mental illnesses. If you are curious if they had experiences or struggles with other mental illnesses, you can simply ask. If they say yes, you can ask about their experience with that condition. If they say no, you can continue to discuss how depression affects them - and be sure that they know how supportive you are. Mention that you take their depression very seriously, and do research on it so they can know you are there to support them.