Weight gain can occur with the hormone IUD. Without that, unless you're allergic to copper or any of the other materials used in an IUD, there is no mechanic that could cause you to gain weight, or get depressive, so I'm gonna go out on a limb and wager a guess that if 75% of those women had been taking the pill, that would have had the same effect, and if they had been using any other method of contraception, that would have been blamed.
Not saying all of them are imagining things, but to blame weight gain (not just being stuck at a certain weight, but actually gaining huge amounts) or depressions on an IUD seems rather far fetched for me. 40 lbs plus while eating healthily and exercising on a regular basis? Hmmm....not so sure about that. If all of that was water, you'd be in hospital by now, and for your body to 'retain' fat, it needs to be put into the body into the first place.
To each their own though, if having the IUD removed makes you feel better and helps with the weight loss, it doesn't really make a difference if it was actually the cause for the weight gain in the first place or not. Whatever works for you.....