I Googled a little--it looks like there's some evidence for higher rates of depression and suicide among gifted people whose gifts lie in the creative realms, specifically writing and visual arts (so--my DD). There may also be higher rates of eating disorders, although there we have some issues with controlling for the fact that wealthier, more educated families are more able to afford residential inpatient care for EDs. There's some interesting new stuff on EDs, btw--they're finding some evidence for genes playing a role.
I don't know if anyone's ever studied the "existential depression" thing with a for-real study. It comes up a lot. I'm not saying it doesn't exist, since I've seen it in both of my children.
I don't place much stock in the Terman data, myself. It's interesting, but it's just too old to be applicable to today's children.
I don't think there's really a lot out there on any of this. I personally think the GT community has strayed into fetishizing anecdata and that yes, there is a bit of creeping "specialism" at work. A lot of kids from all walks of life and all IQ bands have mental health concerns or are emotionally sensitive or have SPD or are anxious.
