I think I know what you're talking about. Perhaps it's like when I was a fundie Christian, other fundies would give me preferential treatment once they knew I was a fellow believer. It's like nepotism or cronyism. I noticed a while back on the JWTalk website that a poster said she would give what she called a "kingdom discount" at her business to fellow JW's.
I imagine plenty of people attempt to remain on good terms with the religious group they were born into, or got suckered into, just to maintain the benefits of being in the group, regardless of whether or not they believe it anymore. I haven't decided whether it's right or wrong to do this. This might sound awful, and perhaps there's a better answer, but I would be tempted to say f**k em, they're insane and will shun me anyway if I'm honest with them. The group is so manipulative (i.e. they will take advantage of a person's good will, politeness, trust, honesty, etc.), that rules of fair play go out the window. The whole thing really is a mind f**k.
edit: Under normal circumstances, I think a person should just be honest, but in the Jehovah's Witnesses, you get punished for your honesty.