I believe immigrants should convert to the religion of the society they choose to settle in. It's what I did (convert to quasi-atheism), it's what my parents did. If I moved to Dubai (something I am increasingly considering due to developments in the godless West) and decided to settle there (something which is now possible), I would convert to Islam, although preferably a more fundamentalist strain than what converts are usually funneled into.
This so misunderstands the point of faith. We're called to be set apart from society and to view the Earth as our mission field, not to conform to it and do what's comfortable.
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