Many Witnesses do indeed feel loved by Jehovah. I know that for a fact. The question is not whether they are loved by God or not. The question that they feel they must continually answer is how to remain in an "approved state" with God.
Their Jehovah God concept is quite skewed, to be sure. One must perform an endless laundry list of organizational tasks in order to receive approval. Jehovah's Witnesses believe in a God who - despite loving them; can still take their life at Armageddon. Their God is one who is beholden more to His internal sense of "justice" than he is to His love for people. In a sense, Jehovah is limited. He is not omnipotent, but is actually governed by a standard of justice - much like a Judge who does not want to send a deffendant to the gas chamber, but knows that he has no choice.
Now, this is where many JWs have difficulty in feeling love. Many do not necessarily enjoy organizational activities. They mave have difficulty in maintaining organizational rigurs. So, they lack Godly approval. Many of us JWs grew up equating approval with love. In order to gain our parents love, we must have their approval. If one is lacking; so is the other.
I believe that people who are born and raised as JWs have a tendancy to project their own parents' characteristics upon Jehovah. If their JW parents were difficult to please (and so many of them are), then the Heavenly Father is difficult to please.
Jehovah's Witnesses also project the characteristics of the organizational administration upon Jehovah. The Watchtower leadership is very difficult to please. Since the organization and Jehovah are virtually indistinguishable from each other, Jehovah becomes a God who is very difficult to please.
I believe that Jehovah is more or less a cartoon character who has evolved over the last century, much like the way in which the appearance of Mickey Mouse has evolved since his creation. Jehovah is basically a projection of the personalities of the Watchtower leadership at any given point in time.