First of all, YOU ARE NOT IN THE WRONG. At all. You have done absolutely nothing wrong - imo, you've been very, very helpful and kind. It honestly makes me sad that you feel bad because you shouldn't.
Some people are very, very hard to get out of depression. Basically, what I've learned from being surrounded by depressed people in the past, is that you can't help people that don't want the help. And imo, this guy clearly doesn't. The way I'm seeing it, it's a greater chance that he pulls you down with him than you actually helping him back on his feet. I know that you want to help him but you are in no way responsible and it is perfectly OKAY to prioritize yourself, which is exactly what I think you should do. I think you deserve better; you need a stable person who is ready for a relationship - and this guy is neither. There is nothing wrong with wanting to be surrounded by positive people, it's how I choose to live my life because I've realized being surrounded by so much negativity and depression drains vitality out of me.
Clearly, you guys aren't even in a relationship yet but you have invested FAR more than him, and he's not appreciative at all, it seems. And I think this is exactly what it'll look like; he'll just take, take, take and you'll end up giving, giving, giving. You're making a huge investment on someone unstable and someone who needs help - he is suicidal, depressed, takes time off work, has a lot of resentment and feelings for his ex, imo, this guy sounds a tad bit dangerous. He is the polar opposite of stable. And you've already said, you try to help, suggest counselling but this guy is not receptive at all, he'll most likely just continue to say he's given up.
You're too kind, and trust me, with the wrong people, they'll end up taking advantage of you. I've seen it happen to the dearest people to me and myself.
This is already toxic and destructive, and I think it'll only become worse if you continue talking to him or getting into a relationship with him. You'll get out of this drained and exhausted.
Think it through before you continue talking to this guy, and take care of yourself. You seem like a really kind and helpful person, but don't let people take advantage of you and use you, it's okay to pick yourself first sometimes.