I think that maybe in the beginning they thought they were doing the right thing and maybe were convinced of it too......but in time I am sure that they know that they are wrong in their thinking, after all of their prophecies did not come true. Surely they MUST know that God or Jesus are NOT talking to them to reveal anything.
But they don't know any other life, where would they go? Not everybody has guts like Raymond Franz, unfortunately. And of course the power that they have over 6 million poeple must feels good too......so yeah, they're wrong and they know it!