The problem is that the same is true for many medications and other treatments, but if you're in the "lucky" minority (a pretty large one) for whom there's some relief... it's worth the try. It's not like choosing bleeding and emetics instead of chemotherapy for cancer, it's just the best we have right now to treat a complex system that we barely have the earliest understanding of.

Adding to this, the molecular mechanisms of psychiatric disorders such as depression, bipolar disorder, and schizophrenia are not well understood. People prefer their brains and skulls intact so taking brain samples for study is not possible.

Diagnosis and grading is fuzzy - a cluster behavioral symptoms observed and reported by patients, family members, and clinicians.

Based on some of the genetic evidence, which can also be fraught, it is likely that something like depression is in fact a grouping of a bunch of separate underlying disorders / causes that all result in the same (easily) observable symptoms. Hence why some treatments work on a subset of patients, but are ineffective in others.