Again, this post is largely made up of information already posted to the ENWorld thread. Yes, there are going to be a few of these - not many, but a few. I hope you'll bare with me in the meantime, while I post these for those who haven't yet seen them.
The gods who watch over the material realm of Aarn have never truly been a large part of the afterlife, and they have very little influence over it. The original Aarnian afterlife intended for corporeal creatures was supposed to be a gnostic one. The One Mother, acting as a life-stream, was supposed to be the source of souls. Upon a creature's death, that creature's soul was supposed to rejoin the One Mother, where it could either stay there in eternal bliss or be reincarnated.
A wrench was thrown in this smooth-running metaphysical machinery when Nektos created the first undead creature. By creating the phenomenon of undeath, he permanently shattered this intended gnostic cycle. Even the souls that did not become undead were having trouble rejoining the One Mother. These souls found themselves stranded in the inbetween as the first ghosts and noncorporeal undead. The astral plane quickly began to fill with clouds of these souls' psychic emanations. As described in the "A Brief History of Aarn" post, the pollution confused and played havoc with the local fey, and a great number of these fey became permanently bonded with the material plane and the Inbetween. Even the god of fey himself, K'tellos, was trapped in the mortal realm.
At the same time this was going on, demon settlers had found our astral plane and were living there as psychic parasites, observing the material realm from the astral as entertainment. They created the first level of hell, Bureaucracy, as their home, shaping a level of the dream plane into a realm they could control and live in. The during the hour of need, the gods took it upon themselves to confront the demons. The gods informed the invading demons that they would make the demons' lives as miserable as possible if the demons did not agree to create, run, and manage an afterlife that could harness and contain the souls trapped in the Inbetween, and thus alleviate the psychic pollution flooding the astral plane. The demons reluctantly agreed.
The demons began creating additional planes where souls could congregate and spend eternity without polluting the astral realm. However, the demons' initial attempts resulted in a great deal of complaining from those who were forced to actually live there. Through complaints, changes of policy, and much paperwork, the demons eventually found themselves with 8 additional prototype hells on top of the original home they created for themselves. While there were indeed people who would more or less enjoy one out of the 8 hells designed for Aarnian mortals, most would absolutely despise the other seven. This gave the demons a headache and made them realize they'd actually have to sort the souls to ensure they wound up at a destination they might enjoy.
To further confuse the process, the demons' method for deciding where the souls would go led to some serious complications. Instead of actually determining which of the 8 planes a soul would enjoy, the demons instead took that soul's value system in life and used that as a litmus test. This led to the very strange side effect of people satisfied with their lives being sent to a hell they would enjoy, while those who had serious regrets (or were hypocritical - valuing one thing and then doing the exact opposite) would be sent to a place where they would suffer eternally.
The final thing the demons did in an attempt to make this run smoothly was to send emissaries into the real world to inform mortals what the afterlife and dream plane were like. The mortals misunderstood entirely, and religious dogma was born. The mortals began to mistakenly believe that their gods had something to do with the hells and where people went, and they also began to develop ideas of heaven - even though no "heaven" exists.
Because those who are consistent in their value system wind up being sent to a place they would enjoy, great sects of dogmatic individuals were formed who would argue that -their- way was the only correct way to live. Their views were even reinforced by the fact that only their sect, or sects with similar beliefs, would be sent to their own most desirable afterlife. The headaches and warfare this caused on the planet's surface caused the gods to bar demons from ever setting foot on Aarn again. The demons of course, found several loopholes which will be gone over in another post.
Not all people who follow religion believe in heaven - ascetics who have the magic to communicate with the gods (or at least explore the Astral Sea) are as truthful with their congregation as possible, though "there is no heaven" is one of the best-kept secrets in religion. - Or at least the religions that try to stay close to the truth. Most leaders do not trust their congregations to grasp the complicated concept of "live true to yourself and you will enjoy the afterlife." Other religious leaders are actually afraid of encouraging the more sociopathic of their congregation, as well.
Jaded adventurers however usually do understand that there is no heaven, and the nine hells are what you make of them. Sometimes they know this simply by virtue of having died and then been brought back to life by a resurrection spell. Kings, businessmen, astralmancers, the most powerful members of the clergy and those with access to magic also understand this, though it is a depressing concept that most god-fearing people will simply refuse to believe - so the secret more or less keeps itself.
Of course, there are also religions with no basis in fact, and as mentioned before, gods believed in who do not exist. Magic is a tricky thing, and an educated adventurer needs to understand and keep in mind that even if a priest can cast divine magic, that doesn't necessarily mean that the priest's god is real, or that the priest speaks the truth of the afterlife, or even how we should live this one.