It's not that psychologists, psychiatrists, or any other health professional for that matter, don't understand it. What happens is that when they agree with you, they cannot let you know it. I'm pretty sure that some of them would have wanted to kill themselves if they had the life of some of their patients, but they are not allowed to say something like "yeah, it's true, your life is so fucked up that if I were you I would probably have killed myself a long time ago."
Even though I am not a health professional, I would probably never tell someone that the best thing for them is indeed to kill themselves, except maybe in extreme cases, like the one from the movie The Sea Inside. However, I know very well that I would have killed myself in situations that are far less extreme than that. Does that makes me a hypocrite? The answer is: maybe—it's not that simple.
The reasons that prompt people to end their lives are naturally different for each person, so this is hardly an objective matter. For instance, the reasons why I decided to kill myself would probably not be enough for many people here, and I'm sure that I would not feel like killing myself either for the reasons that make some of you want to do it.
I might understand someone else's reasons and be empathetic to them, but their problems would probably have a different effect on me. For this reason, I wouldn't feel comfortable telling them that they are right about wanting to end their lives, and I don't feel like I am being hypocritical for that: simply trying to put myself on their shoes is not enough when it comes to a life-ending, irreversible, decision.
Telling people why we think they should try to keep going with their lives is much easier: the decision to stay alive is always a reversible one.
Health professionals are humans like the rest of us, so, regardless of their professional responsibilities, it is not unreasonable to think that thoughts like these might go through their mind too. Their position is not an easy one: they cannot say they agree with you that your life is a shit even if they do, and they can't change the circumstances of your life either, so all they can do is try to make you cope with everything, and sometimes it means making you numb.