Plus the fact that other religions are known to work means I'ld expect mass conversions to other religions
Actually, Christianity isn't
that bad... I mean, it's not IDEAL, by any means, but the default setting for the dead - who get to exist, that is - is to go into a cold dark place where they slowly decay in apathy. This same idea is apparent all over Europe and East Asia, at the very least. Not sure about the Americas, Africa or Australia, though.
My understanding was, that until they invented hell, the choices were eternal life, or non-existence, which is basically fair.
Also, it seems elves were also originally dead people.
Japan has a similar pattern, except that they started binding their well-liked dead into shrines as household gods, and such. Then later on Buddhism came along with the reincarnation option --- although with the ultimate goal of exiting the world. I'm not sure if that's more nihilism, or what Lucifer did, on the face of it, of course there's this underlying assumption in Buddhism, that's a little bit authorial, and a little bit Lovecraft.
Of course, this is under the assumption that the various religions are
correct, which they do seem to be in DC. More or less.
I've recently gotten the feeling that Paul is stuck in the level of Self-fulfillment, and may be either incapable, or it may be very difficult for him, to reach the level of Self-transformation.
Even so, he's still kind of pushing away from a certain level of relatability, which may at some point make the story hard to follow.