>Some people are naturally adventurous while others are conformists.
This is key. Some may think the deciding factor is intelligence, but from my experience ones who leave for good tend to be less conformist.
Meanwhile, ones who value hierarchy, acceptance, tradition, etc. tend to stay.
A study in psychology, particularly the MBTI personality typing system, is revealing. It may be a generalization, but I find that those attracted to the JW religion tend to be SJs, a combination that stands for Sensing and Judging. A description for ESFJs (Extraverted Sensing Feeling Judging) describes their traits:
ESFJs are most comfortable with structured environments. They're traditional, and prefer to do things in the established way, rather than venturing into unchartered territory. Their need for security drives their ready acceptance and adherence to the policies of the established system. This tendency may cause them to sometimes blindly accept rules without questioning or understanding them.
On the other end, I think intuitives (Ns) and perceiving types (Ps) tend to be open and questioning, which leads them to question and leave the JWs.
Maybe someone with more knowledge of the MBTI could weigh in, these are my perceptions from what I know about the system. [Note to those who may be SJs here, there are many factors that lead people to stay (the stockholm syndrome angle in the OP being one of many), so don't take my above observations as a blanket statement on SJs].