Yes..I was embarassed and ashamed of it when I was in, and I am still ashamed of it today after having faded for almost 10 years. I was born in and no, it wasn't my fault but the only thing I have felt and still feel about it is shame. My friends and people I work with don't know. Maybe they view me as weird and knowing that I was a JW would explain that to them.
I belong to an Ex JW meetup group here and they are only ones that I speak freely about my young life. To all others, I leave that significant chunk of my life out.
What is the shame about? Their beliefs are so weird, that I guess I am embarassed to admit that I come from such gullible parents and that I continued to believe it for some time as an adult.
Recently, I meant a young woman who spoke publicly about growing up as a JW...she was comparing how differently people of various religions celebrate the holidays. She spoke of it as just another way to celebrate (or not), much like Hanukkah, Kwanzaa, Ramadan, etc. I spoke to her afterwards to say how much I admired how open she is about it.
So, yes, I do feel embarrassment about it.