Tough question. I think the main reason that there is no Messiah figure is that witches do not believe that one man/woman is above another regardless of their abilities. As far as proof. The one thing that most all Wiccan/Pagan people believe is that converting someone is very bad. You have to come to that path on your own, otherwise you're being led by someone else.
As far as my reason for becoming Wiccan, it's a long story that I'll try to abridge without leaving out anything important. I had already started to doubt the JW before I was DF'd in 1990. My reasoning was, if there is an omnipotent being beyond our understanding who gave us the ability to make billions of choices thus determining our own outcome why would he make only one way to access him/her? I think that the makers of the Bible substituted their own narrow mindedness for that of God. After the DF'ing I went to just about every christian church imaginable and while they were much better than the JW religion they all still claimed to be the one true path. They still had the we are right, you are wrong attitude when it came to other peoples beliefs. My wifes best friend was studying paganism and of course even 10 years later the JW training kicks in and I don't want to have anything to do with her. Then I get a management job and my boss (who is a really great guy) eventually lets it slip that he is Wiccan. So I decide that this guy is pretty cool and a decent person so there must be something that I'm missing. He gives me a rundown of the basic belief system with the disclaimer that Wicca doesn't have any formal Dogma per se' accept, "Do as ye will, harm no one."
I guess the kicker, to narrow it down a bit, is that he said converting people is bad mojo. He said that if I wanted to be Wiccan I had to do it myself. Now there are formal schools that teach Wicca and just like every other religion on earth some think they know the one true way. However, it is generally accepted that all paths lead to God because to do otherwise would be against the concept of free will in the first place.
This is a very short explanation but I hope it gives you some idea of where I'm coming from. Also, I'm sorry if I didn't answer the questions through some of my ramblings.
Dear Lord, please save me from your followers.