Where wild minds come to rest
Well killing your character doesn't get rid of MDD, so why would they stop when you do? I've had dozens of my "main characters" killed off in one way or another, actually it's pretty regular, though sometimes the same character comes back just in a different story or slightly different version of another story they were in. The daydreaming never stops because if it did then I'd have to think about real life, but they definitely die only to be replaced.
Are you getting help/support with your stress and depression? Dealing with the problems in real life can help lessen the amount that you are daydreaming for.
I’ve tried to kill off my character and move on to another one and could never pull it off. But your story is the exact same for me (give or take a few things) and I can’t remember a time where I didn’t have MDD. It’s an addiction in every sense of the word and we will all push through it, as long as we reach out and receive help from someone on here or someone in the real world.
I have killed off several of my main characters and then tried to pick up with a new one. Some have gone well and others not so much. But I can relate to you and your experience with your new character. Some days the only way I've gotten out of bed in the past have been to make my character get up and mimic what I've had to do that day: go to work, go to school, study...whatever.
I had therapy for a while which helped a bit, but honestly exercise saved me. I started out on walks, and while I still spent most of my time daydreaming, it did lessen over time and being outside made a huge difference in my mood.
MDD is not easy. I'm glad to hear you are in therapy and talking to someone.