They did at both of my schools! There was always at least one kid who got out of it. Fair enough, in primary school, we had a weekly assembly where we sang hymns and it was quite Christianity-focused, so I understand why the boy got out of that. But it meant he missed all the general announcements and everything else!

In secondary school, there was no need for it. Number one, Jehovah IS God! Two, our RE class was mostly focused on moral and ethical issues, so even Jehovah's Witnesses need to know about that. (Especially because they refuse blood transfusions and stuff :/) Plus, it seems a bit like brainwashing to me that they're not even allowed to HEAR about other religions. No wonder people generalize religionists as close-minded.