What is funny about it is, the cell doors were never locked, we just were told that they were. However, there are many of us who even though we are released from our solitary cells, continue to roam the corridors of the penitentiary waiting for the moment when we can walk out as free men and women.
When I first read that I couldn't help but think of a recent "Game of Thrones" episode where the imp, Tyrion was thrown in a prison cell. The door was locked but the back wall was completely open - open to a drop of several hundred feet. The prison cells were built into the side of "The Wall", if you know anything about the books or TV show.
Tyrian was free to leave whenever. Problem was, there was only one way out. Down and to his death.
While a JW's options are not that severe, there are some similarities. You, me, any one of the JWs is free to leave at any time. Just like you said - The cell isn't locked. The problem is that when you take that option to walk out by DAing yourself or make it clear that you want no part of the religion, you're going to face hardships. Just as Tyrian could gain freedom by jumping out, it was most assured he would not live to enjoy his freedom. Anyone who wishes to leave JWs in an abrupt and vocal way will also have to jump...but with a different kind of an assurance. They can be assured that they will be hated. Not just people you thought were friends, but your own flesh and blood. You could very well lose your family. While not death, it is a painful and difficult thing to deal with. Something that stays with you.
For some, that jump is necessary to survive. They have to take their chance at that jump. Better to face that then to die in the prison cell.
Others however manage to survive by escaping the cell (using your metaphor now) yet wander the halls, never looking for the main exit. They're free of the confining space of the cell but still have to watch out for guards and snipers. Some are willing to face this situation for a time in order to hopefully help a family member or friend escape their cell and join them in leaving out the front door.
And then there's the Great Escape crowd (yet another detour in metaphors). Digging tunnels out and when done, they'll disappear into the normal population and hope to not be detected as they escape from the country altogether. The Nazis will know the next morning that there was an escape, but hopefully it's too late for them to get organized enough to round them up and bring them back. Most faders who attempt this do have a success rate much better than Steve McQueen. JW elders aren't quite as persistent as Nazi prison camp commanders. Personally, I've come out of the tunnel, avoided the Nazis and have boarded the train for Switzerland.