Hey there - what you're experiencing sounds very normal to me, though I'd encourage you to see your counsellor again as soon as he/she is available, as well as talk to your GP and dh again. I'm no expert but have suffered periodic depression throughout my life and also had 2 years of counselling.
From what you say in your post, being back at home, while a great thing in itself as it means your baby will be OK, is also the first 'quiet' time you've had since you were confined to hospital. Whereas in hospital I imagine you had the routines, doctors, tests and visitors to keep you occupied, at home you don't. So there's just you and your thoughts, concerns and worries for longer periods of time - to me, it only seems natural that you'd feel very down. You're still recovering from losing Max (and I'm so sorry for your loss), plus you've had a really tough pregnancy, plus your hormones will be going crazy...
Pregnancy is worrying enough when it's straightforward, so you've coped and are coping brilliantly.
Please, please don't beat yourself up about feeling down. It's NOT something you should feel guilty about. Please don't feel ashamed. You are perfectly normal to feel down, blue, depressed, worried about becoming a mum - you're only human and everyone feels this way (even if they don't let on!). I'm sure if you told your friends this, they'd be really supportive (and if they weren't, they wouldn't be very good friends!).
Do try and talk your feelings through if you can - I've found that once I give voice to my darker thoughts, they lose their potency and things just seem more manageable. A soon as you 'let it out' you'll feel much less like you'll be sectioned/that your baby will be taken off you etc. Posting on here is a really positive step and I'm sure you'll get loads of support from the 'feeling depressed' board.
Personally, I've found that building up a support network of people I can talk to (which includes my counsellor) has kept my depression at bay. Can you build up a network of friends, family and counsellor you can call on? Can you ask friends to come and visit you at home? Even if you don't talk to friends about how you feel, just having people come to see you will make you feel less isolated.
You will be a great Mum, you are doing so, so well - and it won't be long now before you hold your baby in your arms. Good luck xx