The main goal of asking you this question is so that a label can be placed upon you. The actual substance of what you are doing is immaterial, they just want to know if you are a possible "enemy" of the Watchotwer.
Remember that one of the Watchtowers biggest tools is getting people to believe information with little evidence. Understanding this is critical! Most everybody in positions of authority believe what the WTS teaches without much verification. This attitude is rewarded and encouraged. Seeing somebody demand more than what the Watchtower provides is seen as a signal that you have a problem with the status quo. To them it shows that the person is not "trusting" the Watchtower at its word.
JW's typically don't believe what the WTS teaches because they come to a logical conclusion, they do so because they have been "encouraged" to believe it on little evidence. This is the entire process of a "in home bible study"! Get people to trust you so that eventually they quit challenging what you say and just accept it.
I would say that how you answer this question depends upon context. I would simply answer "no" if I was an active JW trying to fade. OTOH if the situation was different I may be inclined to simply ask basic questions back at the JW and get them to define what they mean further. How much information is to much. The main goal would be to get the JW to recognize (or at least acknowledge) that his main point is that you should trust the magazines without research.
JWs have many indirect questions that, if stated directly, would simply reveal to much about their motivations. Typically most JWs don't actually even grasp the deeper implications of the questions and accusations they throw at people because usually they are just repeating what a magazine or book told them to say in a certain situation. The main point the question this thread referances is that it is well understood by JWs that they should trust what the Watchtower writes without needing additional research. It is not your place as a JW publisher to do research beyond the publications. IF you are doing research, that means you were not convinced by the original information presented, which means you are not trusting the WTS enough.
ONE IDEA:
"Well, haven't you ever wanted to look into this subject a bit deeper yourself? Wouldn't you think it would be interesting to find out....."
in the second example, the person is forced to either say that they would enjoy doing what you are doing, or forced to admit that they would not want to know about their own beliefs in more detail!
One of my rules in dealing with people is to always find a way to turn the conversation around. Don't make people get defensive (that's trouble!), but at the very least try get away from confrontation to some place where you cannot possibly disagree.