You are correct, and why this is the case is an open question. I've heard theories ranging anywhere from the financial (a dental degree costs nearly as much as a medical degree, and the job prospects are more limited) to the physiological (long-term exposure to anaesthetic gases during oral surgery may cause mood changes).
I wonder how much of this is availability of means.
Firearm owners have higher suicide rates just because they have a reliable means at hand. Vets have euthanasia drugs, dentists have gas, doctors have various drugs. Is that taken into account?
I have always assumed it is because they have to hurt people every day while looking them right in the eye. What must that do to someone? (who isn't a psychopath)