I think the key concern that sends anyone running to religion, immediately after cognitive dissonance, is the realization and worry that there may be a second life outside of this one or that they might have to keep returning to this one.
This notion plants the seed that there is some sort of 'test to' or 'agenda behind' life and perhaps even something to win or lose.
The philosophies concerning 'A Goal' vary between people believing that their actions must, at all times, cater to the morale of the majority around them so as not to get lynched by a hidden jury to more modern day conspiracies where there is no jury but people are limited for time to try and (as you say "Wake Up" ) and free themselves from a virtual reality and mind control situation.
If someone could actually prove that no life is forever, it would take away the concern of many thus making it much easier to patiently wait out the life they're currently experiencing until they pass on.
A lot of people seem to realize though that if life were proven to be a one off and there was absolutely no existence afterwards, a handful would become uncontrollably criminal while most others would just trot off and snuff themselves.
And so there in we're all up to our neck in crazy.
I guess this ultimately is to say that the morale majority feel it much better that others around them go on mad, hurt, suffering and useless rather than just not be there at all.