The Watchtower has printed a disturbing article about self control and gives this instruction to the R & F
Self-control also allows us to remain silent when opposers try to trick us into revealing things that could endanger our brothers and sisters. This might occur when we are being interrogated by the police in a land where our work is banned or restricted. We can apply the principle to “guard [our] mouth with a muzzle” in these and other situations as well. (Ps. 39:1)
One common way in which authorities would try to trick a person into divulging information is by threatening them or their family and friends. It could be physical harm, material harm or something else. The Watchtower is telling them to shut up if the information might, not will, but might, endanger other JWs. How would they be endagered? Possibly just rounded up and interrogated as well.
But this instruction applies not only to JW men, but to females and teenagers.
It's not up to the Watchtower to decide when and how JWs should act when caught up by the higher authorities. It is up to the individual, their own conscience after weighing up what they perceive as risks.