Well, it does take a while to convert all the heathens.
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Lots them have to be "talked to" multiple times, before they convert. And you get devotion skill every time you do that.


I've gotten two Master Devotees that way and I still have some blue-masked heathens.

If you mean after converting all the blue-masked heathens, I don't know. If the villager has some skill at devotion they will
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worship the hand ("honoring") on their own, but I don't know if this increases their skill level.