I do not believe there's evidence or reason to say that suicidal tendencies convey evolutionary advantage to the species. Many things seem to be accidents. Does the https://en.wikipedia.org/wiki/Photic_sneeze_reflex convey advantage? Very likely no; it's an accidental mutation that doesn't cause enough damage to be selected against.
What would convince you? It should be pretty clear at this juncture I don't have evidence. However I did give a reason; if in general depressed people feel they are not contributing or participating in society then that is pretty clear.
You can look into this further: a lack of physical activity tends to worsen depression, and a hunter-gatherer with reduced mobility and/or other issues that make it hard to interact with the group is most certainly a resource drain. It goes on and on.
Evolution isn't directed but structures and instinct that are truly against the organisms interest are the exception, not the norm.
Evolution isn't directed, and there is no end state. Attributing positive effect to every mutation verges on https://en.wikipedia.org/wiki/Teleology.