I personally believe that the movement's culture is distinctively narcissistic: Jehovah's Witnesses are abusive (disfellowshipping, threats of a fiery death at Armageddon), black-and-white us vs them thinking, viciously dismissive of other faiths, believe themselves to be special and elect, lots of ego-stroking about how great "divine education" is, etc.
This means that the movement could very well attract other narcissists, those who enjoy such an environment and thrive within it, as well as the victims of narcissists (those with borderline disorder, for instance). This could explain why there would be a higher rate of mental illness, if indeed there is.