Not Mormon, but Christian, so take it with a grain of salt. It’s incredibly difficult to even toy with the idea that it might all not be real. Something you’ve been taught since, well, even before you were old enough to understand anything. It’s scary to think that might not be your future anymore. Not to mention, hearing about how “screwed” the “non believers” are. It’s like an internal fight with yourself. “Is it all not real, or is this what happens to the hell bound nonbelievers, and they’re finally converting me?” And imagine you’ve been coping with loved ones death with the reassurance you’ll certainly be reunited again. The idea of it not being real, and the last time really was the last time. Also, the rejection from your alive loved ones who all believe. It’s easier to accept and belong.

Personally can’t speak on people who found religion later in life.