Because depression and anxiety are the only ones that can benefit from therapy, because in some cases, NOT ALL, they're caused by external stresses and not a defective brain like all the other mental illnesses. However, this is not always the case, as most mental illness will have anxiety and depression as symptoms. BPD, bipolar, schizophrenia rarely go without anxiety/OCD, depression/dysphoria/anhedonia, etc..
*mod edit- only personal experiences with meds permitted*
If BPD is into play, medication might not help as much or as easily.
If bipolar is into play and depression is more predominant than mania/hypomania, you could look into bipolar II and see if you identity with it.
But yeah, honestly, therapy doesn't fix or treat anything despite the claims. Just now CBT is starting to fix mild anxiety and depression, that is usually caused by stress.
The best therapy can do for you is teach you about mental illness and what to control on your behavior. But if you're crazy enough, learning what to control means jack squat.
Some people like the support/friendship aspect of it. i find it close to prostitution and disgusting. Renting company and support is horrid, imo.
DBT claims it treats BPD. Again, if you're crazy enough, means nothing. It will just highlight the bad aspects and symptoms of BPD and make very bold claims about the ability to resolve your issues the skills have.
Talk therapy is usually junk and not based on science. Even the ones that claim to be follow very, VERY faulty studies.
I'm not making this an anti-psych post, by the way, just highlighting what you can expect from therapy. Psychiatric symptoms are best resolved with medications. DSM's "Axis 1 stuff" is treatable with meds, "Axis 2" is harder to treat overall. Medications doesn't respond as expected, or at all, etc.. Plus a lot of it will always be there, if it's truly a PD.
But yeah, if real depression is there only, treating it is the basis. Depression isn't just a funk, a bad mood, state of spirit. It's your brain dying. Serious stuff. Need to flood it with neurotransmitters until autorepair kicks in.