True happiness comes from when you're in control of everything in your life, everything you know in life to be true can be confirmed as true, being free to access as much information as you want, since we're beings that thrive on the exchange of information, being free to do whatever you want to do and to do whatever you don't want to do and achieving your goals. Sometimes, you sacrifice a bit of freedom to achieve your goals, but only if the goals ensure more freedom and control of your own destiny in the future.
Being a JW, you're never in control of your life because you have an outside force controlling everything. Sure, there will be a few whose lives have been screwed up so badly that going to a high control faith gives them that sacrifice of freedom that adds to their goal of finding peace, but in reality, it's only a delusion they put themselves through. They will sooner or later feel constricted by the outside force once they find control of their lives. Either that or somebody will make a compelling argument in due time about why their fantasy world of super-virtuous men in Brooklyn doesn't exist. Both will give them instances of cognitive dissonance, which in turn, will cause unhappiness. Some people counter CD by restricting themselves from reading critical material or listening to conflicting arguments and pretending as though they don't exist.
All it does is it makes a person sacrifice his freedom to access information, which in turn adds to more unhappiness. The most pragmatic and open minded people in the world tend to be the most happy because they're simply out for the truth, freedom and individuality. There are no JWs that are pragmatic, hence, they will never be happy.