We don't really know why depo causes weight gain. It's thought to be either to do with reducing metabolism or increasing appetite (to be honest, all weight gain has to be down to one of those!). When you are first offered depo, the nurse or GP should go through the main side effects and consequences.
If you are coming off depo specifically due to weight gain, but still want contraceptive cover, you could consider other progesterone only methods, such as the progesterone only pill Cerazette. This often reduces or stops periods altogether and for some reason doesn't have quite as much of a problem with weight gain.
If you have a normal BMI, the weight gain is not going to be a concern to the nurse/GP.
It's difficult - on the one hand we want to make sure you are fully informed. On the other, we don't want to overload with too much information. Some people like lots of information, others feel overwhelmed. Personally, I think all women starting depo should be warned of the risk of weight gain and lowering bone density.
AllNewTB - that was unlucky with the steroids. While I know that time contraints mean you can't always check everything with the GP while you are in the room, I would always recommend you read the patient information leaflet that comes with the medication. I know most drugs have a side effect list as long as your arm (and can be quite scary!), but at least if you start getting unusual symptoms you can link it quickly to the use of the drug.