Did your doctor explain that anti-depressants work best when combined with emotional therapy/counseling? It sounds like you need to talk about what it is you are going through, or went through, that is making you feel this intense sadness. If that is not an option for you, we're here to listen too.
Since people on anti-D's typically stick to the dosage subscribed by their doctors, I don't believe patients feel addicted to their anti-D's in the same way people are addicted to cigarettes or alcohol, but I do believe people can definitely become dependent upon them. In other words, they may not want to come off of them even though they are probably ready to start gradually decreasing their dosage because they are afraid of feeling pain again. Please remember that feeling emotion is a healthy part of life, and that the combination of happiness and sadness is much more fulfilling to your soul and spirit than feeling nothing.
Anti-D's should be used to help get you through your depression, and once your doctor recognizes that you are really to start gradually decreasing your dosage, you can be confident that you are ready to do that.