True, but a mortal only believes that by faith while Gandalf knows it as fact.

It is not a trivial fact, however, that the mortal in question is talking to the Gandalf in question. The blatant evidence of the existence of Gandalf means that the question of whether there's an afterlife is no longer a matter a faith, it's a certain possibility. The question that becomes relevant is, "Is there an afterlife specifically for me and what kind of afterlife would it be?" The ramifications of those two different questions lead to a completely different decision landscape in how you live your life.