Then he was sent to some warzone in Africa, to convert people there to his faith ... Except the people really aren't interested in what he preaches, and might easily shoot him in the head for it

My first reaction was that if his "utility" is number of people converted, then it is OK to be afraid of being shot, because if he is shot soon enough, he obviously cannot convert many people. So even if his own survival has zero value per se (because he will have cool afterlife later), he should still care about his life as a means to convert other people.

But then, maybe God "really prefers" people to be behavior executioners, not utility maximizers. It kind of makes sense -- with omnipotent and omniscient God, the final victory of 3^^^3 utilons is pretty much guaranteed, but individuals can still be punished for their wrong behavior, so it is more rational (more winning) to follow the right (rewarded) behavior even when it has absurd consequences, instead of trying to influence some global outcome which is predetermined. This sounds like a more extreme version of the Newcomb's Problem.