Winters in my part of Australia don't get very cold, around 1-3°C at night and between 9-20°C during the day.
In the Caribbean, we're on the middle team. In winter, temperatures stay between 15-22 degrees, depending on cold air masses from North America, so nothing below 5.
I loved how you described the climate differences there; every day I'm more convinced that I have to visit Australia.
The other day, I read that Finland was the country with the highest suicide rate, largely due to its climate (I'm not sure if Taraz can confirm this). It's curious how the climate can influence our behavior as humans.
As for my preference, I'd definitely say I don't adore the Caribbean and tropical climate (it's fine for vacations, but not year-round). My favorite climate would probably be the Mediterranean, maybe Barcelona or Málaga. I was there as a child, and I loved the weather.
I think climate can affect one's mood and attitude and with some other aspects thrown in I can understand how a person can sink into depression.
Finland gets long periods of very little sunlight and with the extreme cold I think it could be quite miserable which may cause issues as you mention. I didn't know they are the suicide capital though.
We have some awesome weather in Australia and it is so vast that we have incredibly different weather all at the same time depending on location. It's very enjoyable and I hope you get to experience it someday.