I'll throw in my $.02 in (which is probably grossly overvalued).
First off, thanks for the scripture. In my 30 years as a JW, I can't recall Mark 9:40 ever being read at the meetings. Interestingly enough, though, Mark 9:42 is one of the favorite scriptures of JWs to use, as that scripture is handy when you need to beat the flock into obeying non-scriptural counsel (obviously only individual members can stumble someone, the leadership never can!)
Given the context as you stated it, Mark 9:40 is also interesting to contrast with Matt. 7:22-23 (which is probably one of the top 5 verses cited in JW meetings).
As for the observation that the christian teachings (as set forth mostly by Paul) seem to set the framework for a cult, I think it is probably not coincidental. The bible itself acknowledges that there were a number of different versions of christianity in the first century (2 John 10) so it shouldn't be surprising to learn that the one that developed traits that made it more successful at self replicating (i.e. recruiting new members and retention of current members and their children) would be the one to win out and eventually become the dominant form. This eventual dominant form of christianity then had sufficient control to form the official bible from the "inspired writings" that backed their particular flavor of the fledgling religion.
The concept of exclusivity is certainly one that lends itself to retention of adherents, and to a certain extent, recruitment as well. The factor in play is similar to Pascal's wager - if you're a member of religion A that teaches that all religions are a viable path to god, but there's another religion B that teaches that only people who are adherents of religion B can obtain salvation, the only logical course of action would be to switch from A to B. As an adherent to religion B, you can obtain salvation if the doctrine of A is correct, or if the doctrine of B is correct. As an adherent of religion A, you'd better be right or else you're going to be left out when the adherents of B are saved.
Of course things get complicated when you have several thousand religions fitting into each category, at which point you'd better hope that your specific denomination isn't the determining factor in your salvation, because the chances of you picking the right one are vanishingly small when you only get one chance.
