Why was he mad at her and not at me?

I think he knew that you were trying to do the right thing, but he may not have known that Shelly was doing it for the sake of him. People who are depressed generally have mixed feelings, one day they love a person, the next day they want them to just disappear. I would make sure your friend Shelly is okay, but tell her not to feel offended, you guys did the right thing for your friend!