As a gambler it's important to know how to control your emotions and discipline yourself, not just in the aspect of gambling but in every other area of life. Emotional instability caused by depression can lead to a whole lot of regretful actions. Gambling when you are having mixed emotions can cloud your judgment and also affect the decisions you make, at that point you wouldn't mind if you are losing and you can keep going till you have nothing left all under the excuse of chasing your losses. I have had some experiences where I decided to gamble when I was emotionally down and I regretted my actions. Some cases are actually a psychological issue where gamblers knowingly try to make themselves sad by ruining their financial life consciously, this is rare but it happens. Don't engage in gambling when you are depressed, if you are looking for a distraction try to do something productive instead.
I wholeheartedly agree with this. Not because one would make more money when they are not depressed, but because dopamine we get from gambling can be used as a short time fix.
And if we condition ourselves of curing bad feeling with gambling, it will end up being a costly short time medicine. Just like you shouldn't drink when you are depressed, it's only short time solution. It, like gambling costs too much money and ends up being counter-effective. And like you said, it affects your judgement and i know from experience that following budget might be harder when depressed, especially if you have self destructive feeling. Then you are set up to fail, no matter what the results of that gambling are.