It might sound utterly implausible that someone could be clinically depressed and not know it, but I think that's the more common circumstance. People experiencing depression very often can't see that depression is the problem. They think the reason they feel worthless is because they're worthless; the reason they're listless is because they're lazy; the reason they don't want to be around people (when they normally would) is because people don't like them.
So to be able to put a name to this -- to say, "Wait. This isn't right. None of this is normal" is huge step forward. Same goes for mania (which can make you feel euphoric or angry and irritable).
Some never get to the point of realizing that there's something wrong and it's not their fault (any more than having asthma would be their fault). And some of those people die from this potentially deadly illness.