I think more than avoiding embarrassment is the fact that upon leaving the organization an individual loses his family and friends. Another factor is many JWs have already given up one religion to become a JW. It's very hard for people to admit to another mistake even to themselves.
There were always certain teachings I found difficult to accept. For example, I could never believe in the Watchtower's teaching on the "gentile times." There was no indication that the prophecy in Daniel that it related to end times. There were no specific quotations of it in the Greek Scriptures. It was purely Watchtower interpretation borrowed from other sources. But like most JWs, I felt the fault was mine in not understanding. Therefore, I was willing to wait until further information about it would appear in the Watchtower literature. It never came!
One should appreciate that if the organization does not have "the truth" then staying in it is an insult to God and to one's self.