I would avoid judging the person/soul altogether, because it can be a myriad of reasons someone may have depression. It can be thought based, as in chronic depression. It can be spiritual / psychic attacks causing it, it could be biomedical and/or psychiatric in origin.
To address whether or not sociopaths and psychopaths suffer from depression, yes, they can and do. They feel empathy but they use it as a tool to manipulate others, rather than enrich everyone's lives and in turn enriching their own.
However, not all sociopaths and psychopaths are dangerous or nasty, their brains are set up far different than the rest of us, which makes it an unfair comparison, stating someone who suffers from Cluster B personality disorder is automatically going to be bad and a burden to society, is a cop-out.
Phoenix, they are here for a reason, just as we are here for a reason.
I'm new to all of this.