But Mr Windass says that his mental illness began after he stopped playing football. How come he didn't suffer from clinical depression whilst he was earning thousands of pounds a week?
You would have to ask his doctor that one. You can have reactive depression (where life events do have an impact) or clinical depression (where they don't). Either way, if Windass is suffering/has suffered from depression he was/is in a pretty awful place and the levity at his expense is as out of place as if he had announced he was suffering from cancer.
I used to think like you and would have said pretty much the same as you 20 years ago "he was a rich git, what has he got to be depressed about?" etc,etc. Personal experience taught me different.