The starting point of his departure from the Jehovah's Witnesses was his 'Thriller' music video.
The 'Thriller' music video promoted demonology (i.e., study of demons), and this was against that religion.
A disclaimer at the start of that music video (which stated that it did not reflect his personal views) did not help at all.
Also, Michael Jackson started to grab his crotch area while performing during the final shows of the 'Victory' Tour (because he knew that his female fans liked that dance move), but this was against that religion too.
As a result of these, Michael Jackson began to feel confined (as an artist) by the Jehovah's Witnesses, so he later (in 1987) decided to abandon that religion.