Let me begin by stating that, by the technical definition of the term, I am an apostate. I have renounced my former religion and now stand between them, and am happy without it. But that's not my point, really.
In most old religions, there is a rather severe penalty for apostasy. Take notice of one of the largest and most famous, Judaism. The penalty for apostasy is death, as stated in Deuteronomy 13:6-10. Especially verse 9, where it says "But thou shalt surely kill him;". My penalty for leaving my religion would be death, were we not in a more secular, forgiving age.
But notice that your players' characters are not in such a secular and religious age. In this world, the gods wield real power, have real influence over the world's events, sometimes coming down to stomp all over the world and dance on the bodies of their foes, or whatever. Your PCs live in a world of the servants of gods competing for very real influence and power, often through blatantly violent means, and yet this is often shoved in the back, because some of the gods are "good" and some "evil."
To be continued...