I've heard that saying a number of times but the witnesses don't really mean it. When they say "prove the truth to yourself" they want you to do it through their literature and absolutely no use of independent materials. Its crazy.
I just had something similar happen to me when talking with a JW friend about a matter. They recommended that I research the issue, which I had done already. When I shared with them what I found, they told me "No, you should research what the slave says and base your decision on that." I told them I already know what the "slave" says regarding the issue but thought it was very interesting what I found outside of the "slave". Their response "Why would you need to look outside of the materials provided to us by the slave?"
How crazy is that?!
Honestly, that put the nail in the coffin for me.