From a Jehovah's Witness perspective, why don't we have the option to choose whether or not to come to this world?

I am not a strong brother in the JW church. However, I doubt anyone would opt for a world full of pain and suffering if given the choice before birth. Jehovah's Witnesses teach the responsibility is that of both parents. It should be a very serious and weighty decision to bring a life into this evil world, which is under the influence of Satan. Unfortunately people are imperfect, and mistakes happen. And the institution of marriage and child-rearing is constantly undermined by this world, making it hard to stick to God's advice and instructions on marriage and bringing a child into this world—which is clearly promoted from the word of God: the Bible. This may be more of a comment then an answer but your question suggests that we would have adult knowledge it right when we were conceived which makes no sense since maturity comes with age and what our parents teach us you would not have the mental capacity to use your God-given free will choice

Jehovah’s Witnesses, like most Christians, teach that we come into existence some time around conception. (I’m not sure that they ever pin it down exactly, and while they oppose abortion, I don’t think I’ve heard them complain about methods which prevent implantation. Let’s just say that, by Witness teaching, you become a human some time between conception and birth.)

Given that, by Witness teaching, you didn’t exist before your conception, you weren’t around to be asked. Once you did exist, it was too late to ask you: you’re already here. As such, the question does not arise.

The Witnesses do not teach ensoulment, the belief that the soul is “infused” into the body at some point during pregnancy. In fact, for most purposes, they make no distinction between soul, body, and spirit.* You are your soul. And that soul is mortal. It exists here because it does exist here: you weren’t brought into this world, as if you’d come from elsewhere — you came into existence right here: you are of this world.

* They do, actually, distinguish these terms, but none of the distinctions seem relevant for this answer; they would be very relevant if you’d asked for a Catholic perspective.

In order to be given an “option to choose whether or not to come into this world”, the individual concerned would necessarily have to be alive and have a fully functioning brain or some form of consciousness prior to being conceived as a human. That may be the view of Hindus, Buddhists and Latter Day Saints (Mormons), but it is not the view of Jehovah’s Witnesses or of any Catholic, Orthodox or Protestant denomination. Christians do not believe that people have a pre-human existence. Therefore it would be impossible to choose whether or not to come into this world.

Latter Day Saints believe that before a person is born, they pre-existed in spirit form as the offspring of a heavenly father and a heavenly mother. They must receive a human body in order to progress to godhood. Here is a partial quote from LDS representative James E. Talmage:

“There is in man an immortal spirit that lived as an intelligent being before the body was formed, and that shall continue to exist as the same immortal individual after the body has gone to decay.”

No Christian denomination subscribes to that idea. The official Jehovah’s Witness view can be summed up from the conclusion drawn in this 1962 Watchtower article:

Jesus himself indicated that men do not come from the spirit realms above as he had. To the Jews he said: “You are from the realms below; I am from the realms above. You are from this world; I am not from this world.”—John 8:23. Source: https://wol.jw.org/en/wol/d/r1/lp-e/1962248?q=prehuman+existence&p=par

That is why we are not given an option to choose whether or not to be born – we do not exist prior to conception.