Sugar can heighten insulin and make you sleepy after the initial high from the sugar. I guess this can be like depression.
Being overweight in childhood may heighten lifetime risk of depression. New research suggests that being overweight, especially from a young age, may substantially increase the lifetime risk of major depression. Ref. Source 7b.
Okay, I can see being overweight possibly leading to depression. But to assert that having an extra sweet, sweet tooth could be a sign of depression I think goes too far. I mean, it could just be a sign that he or she like candy. Taken to it's extremes anything could be a sign of almost anything else.