Yes, I do think there is a connection between what the OP calls capitalist dystopia and suicide, but I don't think it has much to do with the material challenges it imposes on people. We're genetically evolved to thrive in violent, ruthlessly competitive environments, and to do so at the subsistence level and our genes are bequeathed to us by generations who, for close to a million years, managed both in conditions that are materially far worse than even the poorest people have to deal with now.
But they did this as part of close-knit groups with common goals, and that's where the developed world tends to fail. Actual communities with anything but the most superficial ties are a bit of a faux-pas for large demographics.
Any sense of extended family doesn't really exist anymore outside of certain minority cultures. The nuclear family is becoming a relic and even stable romantic partnerships are disappearing among the underclass who can only really connect with the opposite sex via hook-up culture. Without a stable family children are way too expensive a luxury for most, and more likely to make you miserable and complicate your life than provide a sustaining sense of purpose and achievement, and that's if they even remain in your life.
A lucky few obtain a sense of accomplishment and belonging from their vocation or craft, but the majority are just clock-punchers working for money.
Civic and political involvement is irrelevant if you have no stake in the system, and political participation simply means, 'which of two pre-prepared sets of facts and narratives do you prefer,' policy-wise there is little distinction. Nothing to really support. Hence the proliferation of banal, platitudinous crusades with nonsensically abstract or childishly vague feel-good objectives which tend to devolve into effective self-satire the instant they get a little influence or money.
Patriotism and nationalism are either very controversial or and out right faux pas.
Western culture has become utterly neurotic. There's no sense of belonging or pride there. It actively cultivates the opposite.
Religion doesn't work anymore. The transcendent and any sense of the numinous are out of style and most don't even try to provide it. Cheap, commercialized facsimiles have taken over.