I know you are not looking for advice or affirmation or anything, but wanted to share my own experience all the same.
I've been married for 15 years to someone who deals with depression. I used to look at her depression and think If I could just eliminate the triggers, then she won't be depressed. I understand now that isn't how it works. My wife gets depressed because she has depression. If I eliminate this trigger or that trigger, her brain just finds something else. And there will always be something else. Because it's not really about the so-called triggers. It's about her depression.
Your sister isn't depressed because of anything you did. She is depressed because she has depression. The things you listed are just the things her depression latched on to this time. If those things hadn't happened, she would still be depressed, her brain just would have found different reasons. None of that helps with you feeling guilty about the things she said. But I wanted to say it anyway.
Sounds like Will is either waiting for you to "take the hint" and move on so he doesn't have to be the one to end it or wants to keep you around as a backup in case things don't work out with Dave. Whatever his intentions, he is clearly not prioritizing your relationship, which begs the question do you really want to be with someone who doesn't consider you to be a priority in his life?