The "political" landscape of the Gods in lore is a bit of a minefield. This is what made Shadowheart such a tough sell from a lore perspective. The worship of Shar is not well received by most of the people of the realms. She is considered by most to be an "evil" God. That is why most Paladins and Priests would not journey with her once her "secret" was known. As you get into the game imagine a Worshiper of Bhall or Cyric wanting to work with you, would you trust them or want favors from their Gods? Expecially if the God you seek favor from directly opposes them.
Lae' Zel to me would be a little more pragmatic, her God is also her queen and using another God to kill the Mind Flayers would be "acceptable". If she was a Paladin of her faith or a Cleric that would be a different story possibly, but she is a straight warrior.
Astarion is not likely all that "spiritual" and could care less. Plus Vampires kind of like the Dark

Wyll is where things can become a mess. While he has sought the aid of a Devil to gain power, he does not "worship" that Devil and wants to use the power he has for good. So you have basically a Good guy accepting favor from a God he would consider Evil.