It's a complicated situation and I tend to weigh in on the side that they kind of know they're full of it but they kind of believe it too.
It comes down to Orwellian doublethink. In the novel 1984 the inner party which controls the government of Oceania riles up the outer party about Oceania conquering their enemies to distract them from the horrendous treatment they receive at their own hands, torture, malnutrition, no freedom of speech or assembly, etc. and the considerably better lifestyle the inner party enjoys, better food, larger apartments, chauffeurs and servants, so on and so forth.
Later on in the novel a guy named 'Goldstein' writes that the inner party knows Oceania can't and won't conquer their enemies, they're too formidable and there's too many of them and if they do the outer party will turn on the inner party, but at the same time the inner party believes they will anyway.
You can't get onto the Governing Body without spending decades 'slaving' for Jehovah (their term), which means keeping your mouth shut and doing whatever the present leadership says (so during the present Governing Body's time that was Knorr and then Franz and then the first Governing Body). So they have to believe it at some level, or they couldn't get into that boardroom. But at the same time, do they know that they continue to enjoy a pretty cushy, leisurely, sonewhat luxurious lifestyle because they convinced the faithful that the end is near, and they're they're such wonderful stewards of Jehovah? Yeah, they know that. They know that damn well, and that's why they keep getting so freaked out about the lack of donations and begging for more and more as they begin to grasp that the end may really arrive, their end, not this system's.