For the same reason why I remain in the United Tyranny of Stupidity despite not liking where it is headed. While there are other countries on a better path than this one (Hong Kong, Singapore, Australia, New Zealand, Australia, and even Canada are on that list), it is so much easier to just stay put and let the country I am in rob me of my freedom and eventually enslave me totally than to move out. And, that is also why I have been trying to figure out everything I will need to do in order to move out, and how to pay the cost.
With a religion, there is also a cost of emigration. True, with the witlesses, you will not bear a money cost. And, unlike moving from the United Tyranny of Stupidity to Australia or New Zealand, there is no packing up or struggling to learn a new trade (unless your life is tangled up with the witlesses to the extent of having a witless boss and a witless landlord). However, you now have to make your own decisions as to what is moral and what is not. You manage your own time. Rather than pious-sneering, you make your own decisions as to what to do. You also no longer rely on the Washtowel for "truth", and thus must find another source of truth you are comfortable with.
As with a move halfway around the world, many witlesses face loss of all their associates if they emigrate from the religion. They lose their whole infrastructure of their lives. No longer do they know that they are going to the Kingdumb Hell at 9:00 AM on weekends or at 7:30 PM on Tuesday evening. Their circle of friends is completely changed. It is as if I were to find myself in Tauranga, New Zealand tomorrow morning and not knowing how I got there, and having to start afresh.
Unlike physically moving to another country, often the ex-witless is out of their comfort zone. With a move to another country, people face an equal amount of work moving back (yet, quite a few move out of their home country only to later move back). With the witlesses, however, there is the Kingdumb Hell. All they need do is stop in at the Kingdumb Hell during a boasting session, and make a series of requests for reinstatement. For inactives, sometimes all they need do is regularly attend the boasting sessions and apply for reactivation after a few months. While this is a step back, at least they are back in their comfort zone and allowing the same sources they relied on before to guide them once again--in this case, for the worse.
Now, if you are an active witless and do not have family ties (and you are not physically forced back to boasting sessions), then I suggest looking at stories of what others have had to do to leave their countries when they saw totalitarianism threatening their home. Often, they needed to secure visas (including getting to the doctor). Then they had to find a dwelling, and employment (or start a business in their new home). Then, once they got there, it is not unusual for them to have to learn a new language. The culture is different, and for quite a while they look like dorks in their new home. Everything is different, and they are always asking for directions for what become stupid things. Almost always, they have to leave much (or nearly everything) behind, and it costs them lots of money. It also drains them.
With the stories of the infirm pious-sneering, I will throw it back in their faces. With all that people face to leave a country, why don't people leave a religion that already is totalitarian, when there is so much less work to do? All they lose are whatever conditional "friends(??)" they had, any "support(??)" that is more likely to be dream-killing than support, whatever guidance they had that was misguiding them to waste all their time, and an excuse for failure in life. If moving to New Zealand or Australia was as easy for me as leaving the witless religion, I would have already been there by now--yet, people left East Germany at risk to their lives, even worse expense and sacrifice, and without the Internet to facilitate finding services or learning a new trade. I suggest that they take this "guilt trip" and put it to good work. It will be difficult for a while, but much easier once you are out.
Notably, I didn't experience any significant sacrifice or difficulty in leaving the cancer.