Does depression ever get to a point where someone cannot sleep at all?

Not exactly. If the person is bipolar and switches into mania, s/he may well not be sleeping or feel the need to sleep. I've had depressed (unipolar) patients say they do not sleep at all, but we know from observation on inpatient units that they do sleep at least some. It may not be particularly restful or restorative sleep, though. Establishing sleep is important in treating depression.
Yes it can. Depression can cause people to either sleep too much or not enough. That dictates specific types of intervention when counseling and using medication. In both circumstances exercising and making yourself be active is crucial to recovery. If one truly does not "sleep at all" you must get help now. No sleep may mean mania, or serious medical problems like toxicity from elevated thyroid hormone.