I think it is important to ask him why he choose to have sex . Was it just hormones or something deeper ? You said he doesn't want to be a JW was this his way of getting out of the cult quick card ? Or does he want out of the JW's because he discovered sex ?
No matter what 14 is young and there is no reason why you shouldn't encourage him to put on the brakes for a couple of yrs . It is good he can talk to you openly about this ,but you are the parent and it is important for you to set guidelines as to appropriate behavior . It doesn't have to have religious meaning behind your reasoning ....it is just good common sense !