Yes we have our own Bible that we use, but we sometimes do study and compare with other Bibles. I myself have an old pre-1985 King James that still has the name Jehovah in it, as well as 5 other translations (not counting internet access to many more).
The reason we don’t use the King James Version any more (it used to be the Bible the Witnesses used) is because we have an easier to understand Bible with Jehovah’s name restored to it. The old English from the KJV is difficult to understand. The NWT has been rendered intranslated from the oldest original language manuscripts available into modern English so that the reader can better understand the scriptures. The reason why the NWT was produced is explained in the forward at the beginning of the book.
As for the NIV, that was published and copyrighted in 1973. The Watchtower Society had produced and copyrighted our Bible earlier, in 1961, so naturally by the time the NIV was published we were already using the NWT.