I keep hearing about "Catholic guilt" as well.
But yes, as a JW, I'd feel guilty when I "sinned". When I was a kid, if I played guns secretly with the neighbor kids (not actual guns - toys or even fingers). Guilty after some "personal time". Guilty for watching certain movies or TV show that were frowned on. Guilty for fighting with my brother.
Thought I'd die in the big A.
By the time I was in high school, guilt over those things started to fade and most of them I'd stopped doing anyway.