I think that the years of telling ourselves that we HAD it made some of us convinced that even knowing the WT was wrong about so many things, that we should still be seeking out that "one true religion". That's really the first idea that we were told we needed to recognize in the studies. They lead you down the path they want you to follow, seeking after the elusive "True religion", telling us that if we find it, all will be right in the world. This is the precept we first need to drop, but it is often the last one, and the one that we are often still trying to fill, years later. That is the ? JWs always use, "well, if the organization isn't right, then who IS? Aiyiyi!
I am saying this as a person of faith (hold off the bitter and derogatory attacks on my intelligence, please, I already read my quota for one day), and as a person who has recognized that that particular fallacy IS a fallacy rather late in life. It was grown into us like saying please and thank you. Like "I before e, except after c" etc.