He was trying to be witty, and failed.
Lots of people give James Blunt stick, he seems to revel in it, it has become a bit of a passtime on Twitter over the years, he searches for people saying rude things about himself and replies, and he's often very funny. Just one of many dozens of examples is his reply to someone tweeting that Blunt has an "annoying face and a highly irritating voice," he quipped "Yes, and no mortgage."
Blunt even made a video to market one of his songs, which had him interviewing young people who had no idea who he was and had never listened to his music, very self disparaging.
Blunt replied to McGuinness by posting the clip on Twitter with the caption "Suddenly clinical depression sounds quite fun," and included a link to tickets for his Back to Bedlam 20th Anniversary tour.
McGuinness was probably aware of the trope when he made the lame joke. But regardless, I couldn't bring myself to worry about how someone else describes their own mental health issues, it's up to him.