There appear to be a few dubious presuppositions at play here.

The first is religious indifferentism. That is, that is makes no difference which you pick, or that what you pick is simply a matter of "what's 'right' for you". The question of truth never enters the picture. This makes religious belief a matter of utility: I believe X because I derive some kind of perceived or real benefit from believing X.

The first problem with religious indifferentism is exactly that it is indifferent to the truth. If you believe something because of the utility it provides, it means you don't really believe in that thing. You believe in the utility of the thing. So while a Christian will believe that Christ is God Incarnate because he believes this to be true, an indifferentist wouldn't really believe Christ in God, but he might "use" that belief. There is a lack of integrity, a kind of bad faith, at work here. The pretense of this lack of integrity never produces any peace or alleviates the misery of nihilism plaguing the indifferentist. He's still where he started.

While Nietzsche and others had valuable insights (and misconceptions), he and most others did not themselves find a solution to the basic problem of nihilism.

The best spiritual disciplines provide a _framework_ for exploring existential questions.

So Faust enjoyed his life of pleasure and knowledge and got away with making his Mephistophelean deal.