I'm sympathetic with Kethric's take that the FR gods treat mortals as copper pieces to be traded.
Mystra, Selune and Bhaal are the Groomers Three. They engage in sexual relations with beings far below them in power and station just to set in motion mercurial machinations. The mortals affected are simply flung about and may or may not break.
Then again, they're gods more like in the Greek pantheon who revel in their power and dominance, and Ao gives them plenty of scope to misbehave. From a story perspective this is great as there's a wealth of conflict to engage with and have play out.
As for companion Gale? First play through ended with him pondering the Crown of Karsus. Second play through he ascended to God of Ambition. That sounds like being at odds with Mystra, but almost the whole party prayed to her in Act 3.
If you existed within the FR world, it'd definitely pay to pray to some of the deities. But you wouldn't want to get so close you become one of their play things.
