Agree. The only correlation the study found is that the more people think about religious or spiritual (what-ever that means) aspects of their lives have a thicker cortex. Correlation does not imply causation. Maybe the issue is more that thinking and reading scripture that leads to a thicker cortex, as such you could read sci-fiction books (actually scripture are fantasy books) and spend time thinking about them that leads to the same thicker cortex. As such you could also draw the conclusion that reading and thinking leads to less depression. Which would not contradict the previous study that religion leads to more depression.
But of course people like Harold G. Koenig and Lisa Miller jumping to conclusions to push their agenda that religion and spirituality leads to a more healthier life. And then sites like creation.com or answersingenesis.org will use their article to say "Science proves spirituality and religion are more healthier for people then materialism".