I also don’t like Hemingway writings BUT I guess you are getting the wrong perspective in this quote. Is NOT that depression leads people to intelligence or enlightenment, but the opposite. Often intelligence and questioning leads to sadness, angst and all.

I don’t agree with glamorising mental illness, and I agree even less with sadness being equal to depression. Sadness, or lack of happiness, is a very fundamental human condition, while depression is an illness. Intelligent people are more likely to be sad, because they question more, they may feel lonely and other stuff. In resume: They are not easily satisfied. I guess this is what he meant in that statement.