The points so far are great. I've got a couple of more reasons to add:
1) they have family in the borg, and don't want to lose contact with them (ie shunning) by coming out of the JW faith. There are 2-3 people I know personally who are this way, who know the WT is bull**** and are too intelligent to believe in it.
2) the borg culture serves as a type of antidepressant medication. They're told that feeling stressed by 'this old system,' being overwhelmed by day to day life, etc., is normal. This is contrasted with happy, cheerful worldlings. Something is wrong with THEM, and their lack of attention to the 'really important things,' or spiritual things (here this phrase means what the WT wants you to do and believe). Not only that, the worldlings are enjoying the life of decadence and ungodliness this old system has to offer. The depresssed JW receives total support and friendship from fellow JWs as long as they're believing the troof and 'being faithful in meeting attendance and field service.' This reinforces the mental condition of the depressed JW. Depression is made to seem as normalcy to this person's mind. My ex actually refused treatment when I begged her to get it, which is the main reason I filed for divorce. Nothing was wrong with her, I was the one at fault since I was questioning the WT.
And, I'm not sayng I'm all perfect. I had this problem myself, and finally got away from the org and its fake treatment. In fact, my journey is to the point of working on positive traits now. After several years and a couple of good counselors, I've largely been able to eliminate the negative JW thinking. I don't mean to brag, I've just been pretty lucky in my post-JW journey. I couldn't have done it without God and some true "worldly" friends.
I hope this hasn't gone off topic. I've never been able to put this in so few words, and felt like it was time.