Has nothing to do with anxiety or depression
Multitasking is just a "personality trait".. and predominantly women are more able to multitask than men. You should simply ask around and see the correlations. Some of the happiest people I know can't multitask at all
I don't want this to sound derogatory but my experience is that simpler minds are generally happier in life, and I'd guess that this often (not always) comes with an inability to multitask, so I believe you are right. I had a friend in school (great dude, very grounded and happy person) who couldn't eat ice cream and walk at the same time (I swear I'm not making this up).