Do JW's believe in the concept of neutrality? Apparently not!
“All of us have a choice. Either we serve Jehovah or we serve Satan and his demons. We cannot do both. How wise it is to serve Jehovah!” - Spirits of the Dead, p23-4
Apparently doing neither is not an option? So they don’t really believe in the concept of neutrality?
I had never thought of that before!
I'm by no means supporting JWs, but they support neutrality in human governments on the belief that they are backing God over any human government. So in regards to general neutrality from everything, no they don't support it, but the belief that remaining neutral from governments is something they do for God doesn't require that.
Now, as to whether or not they truly maintain neutrality among "worldly governments" is another matter entirely. After all, I would say they are probably more fond of the USA or EU than they are of a country like Russia or North Korea. (Which I would say they have every right to be, but their religious beliefs don't allow for it.)