Why you ask? If they believe in all the religious bullshit that is also myth, why does it surprise you and anger you? You can't cure stupid. That's why.

Its only an annoyance like when they try to pressure you into joining a union, donating to the 'United Way', joining a political party or a pyramid scheme.

God is a myth as well.

Obviously a myth? How can you say that? It’s right there in the Bible.

Full disclosure: Former Southern Baptist here -- born into it and exited around age 27-ish (I'm 49 now, been out of it for a while now). The following is first-hand experience.

Indoctrination is the most significant factor. Those who have this belief hammered into them from early childhood on, the formative years, along with graphic and terrifying descriptions of a hell mythology as a real thing, will carry that on through into adulthood. Among those who grow up in communities that include these beliefs, this isn't just an occasional reminder. There really is quite an emphasis on the reward/punishment system and on Satan and literal demons as real entities that are lurking behind every bush and hiding around every corner and whispering in your ear at every opportunity. I would guess that this alone is much more responsible for deterring apostasy than any other factor. Most evangelicals who even entertain the idea of questioning the religion, even if not necessarily of their own accord but perhaps facing another who is doing the questioning, often reflexively turn to Pascal's Wager without much hesitation. And why would Pascal's Wager be compelling to an evangelical? Not as much for the reward side of the equation, but almost entirely out of fear of the punishment side. Without a scary boogeyman manifest in the Satan character and the fright of an agonizing eternal existence in burning hell, Pascal's Wager would really have no teeth and no stranglehold on those who would otherwise find their religion utterly uncompelling. And believe me, fear of being in severe pain for eternity is a very real psychological hold on a person. And the whole "devil" thing goes hand in hand with that as something that is drilled into them for years.

That indoctrination is so effective that even as ridiculous and illogical as it clearly is to those who either never held the belief or found a way to discard it, those who are still affected by those beliefs even if they have made the intellectual step of recognizing the religion as exceedingly unlikely can STILL be so impacted by the years of Satan/Hell nonsense that this one fear keeps them leashed to their religion and can often be the lone factor in keeping them from making a clean break. Others make that break and have no remaining god beliefs and yet STILL have that residual Pascal's Wager ghost looming over them (sort of a post-Christianity PTSD) and continually have anxiety over "what if I'm wrong?". Real trauma results, and nightmares can be a part of it. Those who never break away and remain part of the religion indoctrinate their own kids.

As for those who didn't grow up with those beliefs and are converted as adults, that's a bit mystifying to me. I can't quite get my head around how the whole assortment of mythology can be so completely adopted as true -- how a grown adult can start believing that demons are everywhere and that they get inside our heads and tamper with our motivations and actions. I have to wonder if there is a personality profile that goes with it and makes this possible, sort of like how some people are more apt to latch onto ridiculous conspiracy theories and flat-eartherism and other patently absurd notions.

For the record, I'm still associated with a sizeable extended family who are mostly still Southern Baptist (the others are a variety of other evangelical variations, like Reformed Baptist, many of the same asinine beliefs) and I've had to acquire yet another skill late in life, that is, to keep my fucking mouth shut during family gatherings because confrontations would be rampant otherwise. I've had to stay quiet whenever "this or that happened around the time of 'the flood'" or how demons must have had some part in something someone did, or God intervened in some event. Maddening, but that's how life goes. It isn't really that easy to sit and quietly muse to myself about how insane it is that a bunch of grown goddamned adults are believing in demons and devils lurking around like gremlins, fucking with the humans at every chance.

Most countries in the world, including the US have failed education systems. Most schooling is state controlled, and teaching people to be critical, to think clearly, to be sceptical, to evaluate evidence, and to be morally strong, would not leave them vulnerable and undefended against political and commercial exploitation, so there is no incentive to improve education for those who control and fund it. Religion then just jumps on the band-wagon.