Denied depression, never got a mental health evaluation? Do I go HLR?

I was serviced connected with 0% for rhinitis, and 40% for knees/shoulder issues as well as tinnitus. Thrilled with the connection. However, I did file for depression but never received a MH evaluation and it was denied anyway.

Im happy to use my own therapist and have a nexus written up, but I’m not sure if this would be a separate claim or to do an HLR.

Thanks in advance, this sub really helped throughout the process.