Good question.... When we left it was very confusing for the children. I think children tend to grow up thinking that mums and dads are perfect and are always right about everything (well, in our house at least!!) and when you have to admit to them that you have been misled it can be very difficult for them to understand. I think we handled it as well as it could be, bearing in mind our kids were all 8 years old and under, we tried to reason with them - using the Bible where we could, to point out errors that they had made. We explained that we felt that no one religion should claim 'exclusive rights to God' and that each religion (within reason...) had its good points. We tried to undo the damage and indoctrination and helped them reason over things.
I remember my small son asking 'Why dont we go to the Kingdom Hall anymore?' and I simply stated that we dont believe the same things as they do anymore, this satisfied him and that was that.
I also remember my eldest daughter being very concerned over shunning and I had to go into detail with her the reasons why they choose to do this, she came to the conclusion that they are 'stupid people who act like children'. She also said 'that is not a very Christian thing to do is it?' Talk about knocking the nail right on the head! Children are so perceptive!!
In think above all though, it is important to be honest with the children, I believe they were mislead enough in the KHall without carrying it on when you leave. They ask me now whether there is a God at all and I answer them honestly - I don't know, it's one of lifes biggest mysteries..... and they seem happy with that for now.