My dad is most likely disappointed in some things about me ("Uh, just, uh, I, uh, don't tell me anything about your sex life" - well, duh, like my heart's desire is to hear about his!), but extremely proud of me, too.
Why do they do it? Having had enough psych training and been a therapist, I'd say in my dad's case - he was so badly treated as a child that he's never individuated, become a fully functional human, and craves the approval of a surrogate parent - the society. The WBTS gives him a very similar "family of origin" experience, are very strict with him, and he can constantly find ways that he doesn't "measure up" (that nasty old independent thought thing keeps creeping up). He has never found his internal parent to care for him, and he can't imagine an external parent being kind to him.
Kinda masochistic. Ok, more than kinda.
Still love you dad - you may be proud that I grew up, I'd be even prouder if you could, too...