I wonder what the answer is for a combination of both, such as myself, who has chronic depression? For my state, and my assessment, I am on medication for depression, but no longer receiving "talk therapy" or being able to talk to someone, just vent, therapeutically. I'm pretty sedentary so there is no "structured physical program", and the depression makes me not want to do any such thing - I have a treadmill sitting in this room I've hardly used, not since last year when my uncle got it for me.
With or without other health problems, chronic or not, depression itself is a potentially debilitating condition, so I can only imagine the impact on medically impaired people. I can see where the danger of self-harm might be a raised concern.
I am not a medical professional, however I have found that physical health can have a big impact on depression. A system of exercise and modification in diet can play a vital role in brain function. In like manner having positive people and positive influences around you works wonders. Being in a negative environment can weigh one down heavy. Even taking in negative content - for instance lyrics from a song or a movie can affect the brain in a way you would not believe.
I did talk therapy once and at first I was taken back, I did not think it would work because I reasoned that what is the difference between talking to a psychologist and talking to a friend? BIG difference. The psychologist helped me see things in a way that I never saw before and gave me new perspectives of my situation. Highly recommended.