Introduction: Effective psychiatric decision-making requires balancing data-driven predictions with clinical agency. This challenge is particularly acute in the pharmacological management of Major Depressive Disorder (MDD), where clinicians must navigate complex, patient-specific trade-offs between remission probabilities and diverse side-effect risks. Although AI-driven Clinical Decision Support Systems (AI-CDSS) can support the prediction of individual treatment outcomes, the optimal mechanism for aggregating multiple clinical criteria remains an open research challenge. Methods: We investigated how the locus of control in the aggregation mechanism affects clinical utility and treatment decisions. Three weighting schemes were evaluated: (1) an Implicit Weighting baseline, in which raw probabilities were presented; (2) a Static Expert-Derived Weighting scheme, using linear aggregation with fixed expert-based weights; and (3) a Dynamic Clinician-Determined Weighting scheme, using linear aggregation with adjustable clinician-defined weights. These schemes were implemented within a prototype decision support system for antidepressant selection and evaluated in a user study with 22 physicians. Results: The Dynamic Clinician-Determined Weighting scheme significantly enhanced perceived clinical utility compared with the alternative approaches (p < 0.01). It also led to the most frequent data-informed revision of physicians' initial unassisted antidepressant choices, occurring in 33.3% of cases. This effect was observed among both psychiatrists and primary care physicians, suggesting that adjustable weighting can support more informed treatment decisions across clinical specialties. Discussion: These findings suggest that effective integration of AI into psychiatric practice requires flexible decision support systems that preserve clinical agency while incorporating data-driven predictions. By allowing clinicians to determine the relative importance of remission probabilities and side-effect risks, dynamic weighting may better reflect the nuanced and individualized nature of mental health care.