We have discussed this multiple times in the past, and if I recall correctly, our consensus has been that we will not institute such a penalty before the vaguely-planned Religion Overhaul.
As it stands, being a "pagan" simply means that you do not follow a religion that has been founded (and has not since collapsed) within the game mechanics, on that island. So a follower of Daishi who emigrates to Dwilight, or a follower of Sanguis Astroism who emigrates to Beluaterra, would be considered pagan.
When we do get around to the Religion Overhaul, my intention, at least, is that there be more opportunities for those following game-mechanic religions, but very few penalties for those who do not.
