You're not a bad friend, I promise you.
Everyone does it, some more than others, but I know exactly where you're coming from. It comes to the point where you're not telling them because you don't want to hurt them, but deep down you know you're not doing it for them, you're doing it for yourself because you're too afraid of shattering and changing everything that you've got so used to. Same with your councillor. Everything's really scary right now because everything is unpredictable. You could wake up tomorrow feeling depressed or it could be an 'okay' day when you can get through stuff. So the predictability is the habit that you've got into of saying 'I'm fine'.. the scary thought is saying 'I'm not', because then you have to talk more, and you have to go through things that in your head don't sound explainable.
But - and this isn't intended to sound harsh - I think you've got comfortable in the depression. Not saying stuff makes it easier because it's what you know and have got used to.
Your councillor knows you're not okay, if she thought you'd truly got over it all, then she wouldn't still be seeing you. She knows that you're not okay - believe it or not she does. Unfortunately it's not quite so easy to fool the professionals as it is your friends - I learnt this the hard way!

She knows you're not okay, but all she's waiting for is a time for you to say 'I'm not okay' - break that first level down and start. And that's all you have to do. I know that those 3 words are soooo hard to say because they're the start of something bigger and almost unconcievable, but it is possible to say them, and they don't have to be the hardest thing, because you're not on your own.
Once you tell someone you're not okay, start explaining things, then they can help you. And I know that sounds obvious and kind of patronising, but it's true. Right now you're having to cope with stuff on your own, and you don't have to. You've got friends who care, and councilling, and they all WANT to take on some of this. They wouldn't still be here if it wern't for the fact they want to take on some of this. And you don't even have to wait for someone to ask..
It might sound incredibly self-centred to yourself to think of just going and saying 'can I have a bit of a chat, I'm feeling down today' but honestly, any decent friend and certainly any councillor wants to hear this if it's true. Obviously, they want you to be okay, but the one thing worse than you suffering beside them would, to them, be suffering without them.
You're not being self-centred by telling people that you're feeling depressed, but these people are here because they care and they want to help you. And whatever it is you've been through, its not something you can't recover from. You're still here on this planet after X number of years when there's every chance that something could have happened to wipe you out. You're still here and you're strong enough to get through anything. Humans are stronger than they think they are.
So seriously, sorry for the rambling post....

but it really is as easy as just saying something. You're not a bad friend and you're not wasting your councillor's time at all. But you owe it to yourself - you've come this far in life - to say something when you're not feeling okay. You're too important not to. And your friend know that you're too important not to, that's why they ask.. noone wants to keep on at someone, so if they don't ask, just tell them. And if they're worth their salt, they'll listen.
Seriously, I've learnt some of this stuff the hard way, and your councillor has seen it before (honest

) .. just start at the beginning - and then you're not on your own. Best of luck

x