If you want to, I guess...?
Faith is faith both in a fictional setting and in real world. Faith can not be erased by rationale, because faith is not rational, period. So for a Paladin, it doesn't matter if there are other afterlives than the one's he after for. He will still believe whatever he wants to believe. Will some Paladins start to doubt...? Maybe, but some already doubt - that's also part of faith. You can even make new stories out of that.