My first question is, why are you seeing a doc that you work for? I am also in the medical field and would never dream of working for the doctor that treats my depression. Is this your medical doc? If so, I would immediately get another doctor to see me about the depressive feelings you are having. It has been my experience that your mental health should be only you, those you care about and your physicians business because of stigma and opinions of others that are not favorable in regards to depression, i.e. mental illness.
I guess what I would do is seek the advice of a doctor that is not your employer. If your depression is causing you to miss work and you feel that you need to advise him of this, I would just ask for time off without giving any information that they do not need.
Good luck to you.