This one is easy.Don't use you gigs to"spread the message" of whatever cause you champion. There are other arenas for that.You're at a gig to entertain,nothing more.So just leave it at that.People don't pay cover charges and buy drinks to hear messages about suicide and depression.
I hope you would admit that there can be more to music than entertainment. Perhaps you play your gigs only to entertain, but you shouldn't speak for all of us; I certainly don't play music only to entertain, and it doesn't sound like the OP does either. I think it's entirely reasonable for the OP to be offended. Teenagers are very open to influence, and music with a positive message might encourage some of them to look for positive solutions to depression and alienation. It's a serious message, and it wasn't right of the other band to weaken it. Saying that music should only be played for entertainment seems cynical and nihilistic to me.
Pissing on the other band's van? Sounds like rock & roll to me.

