I think which pantheon you belong to depends on where you live and who you worship. Roy didn't live in Azure city when he died he happened to be visiting. A dwarf would need to move out actively disown there old home and old pantheon and claim another home and pantheon but in theory a bet which only one pantheon agreed to would not effect the property of another pantheon. You know unless the other pantheons actually agreed that Oden's pantheon gets full control of the all dwarf souls regardless of where they live and who they worship.