It's a tricky one. I do understand as some have already said that showing JWs films about other cults could make them feel better about their own group.
I think kjg123 made an important point. Showing them films about other cults that are very close to their own is probably more effective because, although we can see the similarities between scientology, JWs, FLDS, etc etc each of those groups view the other the same way: they are damned, we are saved because we have the truth - which is another similarity that they (all cults) fail to readily recognise.
People in cults are great at spotting other cults...oh the irony.