Maybe this is one problem that VR can solve. Virtually simulated suicides? Virtually simulated anything. You don't have to die or hurt yourself, try X in a safe simulation first to see if you really want to go through with it.
Would it be ethical to subject someone to a virtual suicide they thought was real...in order to convince them to not attempt in the future? The technology seems to be getting to a place we could create such an experience, terrifying though it may be.
You'd think that once VR got to such an advanced state, we'd have already long before synthesized effective medications / electrical-magnetic therapies (e.g. shock therapy or TMS) to effectively treat depression enough that the VR suicide simulation would be pointless.
OTOH, the most effective treatments we have for depression are almost a century old, have tons of awful side effects, and were discovered by accident (i.e. MAOIs and electroconvulsive therapy), so I'm not too optimistic in the pharmaceutical and psychiatric industries.
That's like learning how to trade using paper money. It removes any threat of consequences and is ultimately not a very useful approximation of reality.
I see where you're coming from, and I think there's an interesting question here -- is the immediate regret a conscious, rational determination? Or is it a primal self-preservation instinct?
While video games and paper money can remove threat of consequences, VR is still extremely good at triggering ancient, subconscious brain pathways e.g. fear of heights. If regret from suicide is similar to fearing heights, then perhaps it would actually be useful?