Right, but what I'm trying to say is that within the context of the rest of the show that final song 'Are you happy?' is a self-criticism included as a way of showing that happiness doesn't come from fame or over indulging in creativity. You're right, there is a deeper thing he's addressing and that's his issues with fame and having an audience. But I don't think he's depressed, he loves what does. Art is a way of capturing thoughts and feelings in a sort of time capsule, so these feelings reflected in the ending song and overall show are true in the sense that he has had those feelings, but that doesn't mean that he is still in that head-space now. They're presumably problems he's been working on for the past few years, and only now that he is starting to see what he was doing wrong is he then putting this version of himself (the version that was probably romanticising getting famous and making art you're proud of) into an act - to serve as a sort of cautionary tale for younger people who are doing the same. It's something he created to essentially take a look at the creation process and the creator's relationship with their audience in the modern day world.

The last song is the most honest part of the show, yes, but its still a criticism of himself in the same way he has an arrogant stage persona. The main thing he's hinting at in this song is that happiness is kind of a choice - "I'm really trying to get happy, and I think that I could get it if I didn't always panic every time I'm unhappy, like I'm owed some life where I'm always like happy, which is stupid cause I wouldn't even want it if I got it - wait, my dad was right". I think this verse of the song is supposed to be illustrating the self-fulfilling prophecy we sometimes make our perception of happiness. He's saying he's trying to get happy, but he recognises that part of why he is unhappy is because he's an overthinker and he spends more time thinking about why he isn't happy than he does actually cultivating that happiness. He then kind of criticises that anxiety by saying that that he isn't entitled to happiness, and furthermore says even if he did get this happiness due to being 'owed it' he wouldn't want it because it wouldn't feel earned, which then goes back to square one where he's over analysing whether or not he has 'earned' this happiness rather than just living in the moment and experiencing it. So by portraying this through the song, he's giving us an insight into problems that putting too much of his life into creating and potentially not spending enough time actually living life has brought him. He's taking an unhealthy trait of his that he has recently started to try and change, and twisting it into a message to his audience as a bit of a warning. This message is echoed at other parts of the show, especially near the end, where he says things like "if you can live life without and audience, you should do it" and so on. Like I said it's all just about romanticising fame and content creation - something that is definitely becoming more and more common among young people in this new age of performing that the internet has brought us.

Or at least that's how I interpreted it from watching it a few times and listening to some podcasts and interviews featuring him. When you look at his climb and the fact that he was making original songs/videos on YouTube from age 16 and as one of the first big YouTubers before a famous YouTuber was even that much of a thing, I think it's very possible the underlying message of Make Happy as a whole was something of that nature.

tl;dr I swear I didn't mean to write this much I've just spent too much time thinking about this