Were you getting adequate amounts of selenium and other antioxidants while on round?
Low thyroid and/or catecholamine Depression symptoms are my worst symptoms while on round with ALA. Selenium and tyrosine help quite a bit. I have high cadmium so this is likely involved. Most folks don't have Cd.
The theory about this is that ALA is mobilizing (kicking up)Hg as a normal part of the chelation process. Se binds rather well with Hg and Cd. This would reduce the Se levels available for protection of the thyroid and for conversion of T4 to active T3 thyroid hormone.
Have you ever used DMSA or DMPS? They would likely also increase those symptoms as they mobilize Hg and Cd. However DMSA supposedly is a more effective chelator of Cd. Maybe ALA mobilizes Cd but does not chelate it well. this would tend to leave more Cd in circulation to bind with Se.