I think depression can teach someone to be more careful about their life choices, to think about themselves, other people, and their situation and figure out how that does and should all fit together in their life. I think it allows someone to cut bonds with other people and/or society and be the one looking out from within, rather than the one looking in from outside themselves.
It can teach people to stop following the crowd, to listen and understand themselves, and to find ways to better find fulfillment in life.
And these are all things that are not measured in say an IQ test, though they are a form of intelligence or perhaps wisdom brought about by accepting bad circumstances and finding ways to make them better.
So I think it does in regards to all that, though maybe you lose something in the process. Perhaps one starts to care less about being "successful" or "normal" as society puts it; so maybe most would call that unintelligent because it means being the odd duckling. I'm not sure; I guess I'm not one to declare clear answers.