Well, I don't think that. I can see that any belief has consequences. Hell, just look at how certain people treat you for mentioning you believe a certain way that is contrary to their own views (religion, race, sexuality, linux or windows). Ideally, yes, I don't think they should have consequences in the way that they do. But they should have them. Beliefs shape who you are now and who you will become, and that is a very real consequence. One that I think should be there.
And sure, I know it's hard to make a choice when you're dealing with conflicting emotions. Change is uncomfortable for many people. A different set of beliefs isn't what has been "normal" for you for however long your previous beliefs were in place. It isn't comfortable. But any sort of change can do that- from deciding you no longer want to be in an unhealthy relationship, changing careers, moving cities, changing your diet, or even changing your tv watching schedule. I think changing beliefs fits in there. Some people find it more difficult because there is more of an emotional charge and attachment (and sometimes a shift in perspective) for them towards their belief system than their tv watching schedule.
My point was more towards if you're going to base a belief on something of an emotional nature, do what makes you feel good now, not what makes you feel bad now or what might possibly make you feel better later because of some vague reward you might get. Unless that's what makes you happy now. But those questions of "what if" mean that that isn't the case. So there is something in there that will make you happy. If keeping the same beliefs doesn't, then changing them will. Change doesn't always make people happy until it becomes habit, so there's going to be some overlap in that discomfort. That is normal. Hell, it's healthy.
And that's cool too. It's a different approach for you, so it's actually good that you're noticing a difference. You aren't ignoring that you're changing.