Or maybe it's simply that you can worship whoever you want, and in the end that has no bearing on where your soul goes...in the Oots world.
Roy was told that his religion, or lack thereof, had no bearing on his destination. Only paladins and clerics are held to such a standard. It would be extremely unlikely for a cleric or paladin to switch faiths, and even more so for dwarves.
Also we have never seen anyone actually convert. Puppets and Haley's drunken ruse don't really make compelling examples of piety.