A therapist is not going to have the extensive medical knowledge to understand every chronic condition out there. The first few sessions with any new therapist are always going to be building the base so they understand you and what you are going through. There won't be as much work in those first sessions, they are more of you telling your story. So, what you describe sounds very normal to me. If you feel like you have to explain the condition too much, get them some concise literature on celiac disease and ask them to read it. But hearing from you what your specific difficulties are is what is going to help them help you. If depression is a factor in any part of your life, that is what it is. It doesn't matter what is causing it, it needs to be addressed so you can live a healthier life. Obviously if a factor contributing to the depression can be removed, it should be, but your difficulties with Celiac disease are going to stick around, so the idea is to help you learn to cope better with the onset of this chronic illness.
If for some reason you choose to find another therapist (I would give it a few more sessions before doing that), I recommend typing up a narrative and giving it to the therapist to read at your first session. That way you can cover everything and not forget something, and you can include something on Celiac disease in what you give them, so you don't have to explain. But the chances of a therapist knowing everything and not have to be told what your struggles are is... unrealistic. Once you let them know what your struggles are, they can help you with those. So I recommend staying with the current person and seeing how it goes after a longer time.