The church of Nethys is illegal in Cheliax. When they learned Ione was of it, they told her that she wouldn't be executed as long as she represented Asmodeus well to Keltham and did what she was told. The church of Cayden Cailean is also illegal in Cheliax. The rest of the girls were just told that Ione and Pilar had exceptions. In general if you ask too many questions in Cheliax or cause a big government problem to be a disaster, you die about it, so no one did. 

The church of Nethys is illegal in Cheliax. When they learned Ione was of it, they told her that she wouldn't be executed as long as she represented Asmodeus well to Keltham and did what she was told. The church of Cayden Cailean is also illegal in Cheliax. The rest of the girls were just told that Ione and Pilar had exceptions. In general if you ask too many questions in Cheliax or cause a big government program to be a disaster, you die about it, so no one did.