Is it wrong to study with Jehovah's Witnesses?

Is it wrong for a Catholic to do Bible Study with Jehovah Witnesses. I did a 6 month study with them and much as they tried to convert me I emerged with my Catholic faith stronger then before.
My parish priest was not happy about this but I learnt a lot but did not like the way they thought I needed to be saved from myself. As they do not celebrate Christmas, Easter or believe in praying the Rosary or that our Lady remained a Virgin all her life I felt there was little common ground between us and spent most of my time telling them they were mis-guided.
However I liked them as people and they did respect the fact that I did not eat meat on Fridays.

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