Mmmm, tough one. I don't like reminding myself of how I was when I was at my worst, let alone other people reminding me, so my initial reaction would be that no, they shouldn't. It would feel, for me, as if they were having a go or using my problems against me a little bit.
I guess though it depends on the circumstances - whether they have your best interests at heart and are doing it to try and stop you from sinking so low again, or whether they are doing it for other reasons. It would also, for me, depend on who was doing it - if it was my mother, for instance, I would take it worse than if it was my dh.
It also depends on whether you think the worst is behind you and you're never going back there - being reminded of the blackest times when you're trying to stay positive and feel that you're on the up is never going to be a good thing. For me the worst times are still so fresh in my mind that constant reminders of how bad I was would tend to bring me down and bring the depression back again.
Sorry, that's awfully rambling - just typed it out as it came into my head. Hope it all makes sense.