Amazing game, but I'm gonna have to cut down on an old comment by Nula.
That is some hardcore projecting, man. The game makes no actual reference to anything you said aside from the shadowy figure being part of the main character, which is hardly compelling evidence for an allegory about depression or addiction or whatever some such. The game is very clearly about the comparisons between freedom and the risk that comes with it or confinement and the safety that comes in that (the safety being something you completely neglected to address despite it being a pretty big player in the narrative of the game).
Freedom comes with, as it pretty much implies, free will. Free will is often glorified and adored whilst we ignore the consequences that will brings. We will make the wrong choices sometimes. We'll be subject to outside forces we have no control over. We'll encounter horrible things because the very nature of freedom is a chaotic and ever changing landscape. The main character is of the opinion that the freedom of the self is worth these possible mishaps and the risks involved.
Confinement is what the narrator drives towards to instead. Why? Because it's safer to be in the cage. To be locked in means nothing can come in and get you, obviously. Outside forces have less of a chance to seep in through the walls. If someone makes choices for you, you don't have to worry if you made the wrong one. If you have no will, you also have no responsibility or expectation. The shadowy figure favors this, arguably out of fear.
Both are actually pretty viable options all depending on the kind of person you really are.
Trust me though, this has nothing to do with whatever problem you're projecting onto this. I'd recommend getting looked at.