Epistemic rationality is just one of many means available for winning. There will be trade offs between these means, first in terms of opportunity costs, but second where being employing the means is a handicap in a situation. Under totalitarian theocracy, it's likely instrumentally rational to believe in the Great Gazoo with the rest of them. In general, there are costs in not aligning your beliefs to the society you live in, even when those beliefs are false. Whether the benefit of more accurate prediction from epistemic rationality outweighs those costs is a factual matter of the situation.