The one interesting thing is that clicking on links to jw.org from here could be used to potentially identify you by the WTS.
The web server request logs show the source site so the jw.org webmasters can identify every click through from here to jw.org. They also know the IP address of the client browser (i.e. your IP address).
Now it wouldn't take a genius to compare those IP addresses with ones that are related to page requests that did not come from this site. This would include those requests related to a jw.org user who has logged in. The user account does include information that could be used to identify a user, especially if this user is an elder with additional access rights to jw.org.
This process is not 100% foolproof. There is every chance that if there has been some time between visits to jw.org, and certainly if you have rebooted your router, then your public IP will have changed so the two visits could not be linked. If you are using the internet in a public place then your IP address may have been used by someone else who just happened to go onto jw.org. Also given that multiple users in a house will share the same public IP address there is no real way of proving that the two requests came from the same person.
I am not given to paranoia or conspiricy theories but if you are concerned about any risk to your identity being exposed then it is safest not to click through. Just cut'n'paste the link into another tab. It may be that the WTS privacy policies mean they would not do this or use the data in a proactive way but better to be safe than sorry.