This is a really good point. Both cytokines and macrophages interact with microglia in the brain and CNS. This may be enough to trigger depression and social anxiety. It fits with evolutionary biology – an environemental or pathogenic stressor may trigger anti-social behaviours long before any symptoms manifest. Like an early warning system, in lieu of physical pain. The types of immune insults which instigate cytokine activity don’t necessarily cause elevated CRP despite, as you say, modulating cytokine expression. IL-6 and TNF-α for example. In fact, many protozoan parasites (implicated in many MH disorders) subvert the host immune system by dampening inflammatory markers, but this doesn’t mean they aren’t pathogenic.