Given the lack of side effects from psychotherapy, this should be the first choice of treatment, as is mandated in countries like Denmark by the Ministry of Health. I don’t know how you fail to acknowledge this, in my eyes, fairly obvious conclusion.
There is also evidence that exercise, especially in groups, has similar effects on depression as those of SSRI’s or psychotherapy. In the UK, exercise is prescribed as a treatment for depression. Again, this has the advantage of lacking side effects.
SSRI’s should always be the last resort due to their side effects.
Of course, some patients, as you mention, are too sick to receive psychotherapy (or get out of bed to exercise), in which case SSRI’s are the obvious choice.
What that can prevent exposure for social anxiety from working are safety behaviors, e.g. having certain types of clothes or make up on, favorite item, mobile phone close/in your hand, etc., because you are then taught the wrong lesson from the exposure, i.e., “I only managed situation X because of [insert safety behavior]”.