While fantasy is a many-varied genre, religion in fantasy RPGs is often some mix-up of polytheism with Christian notions - including of the afterlife. The common assumption seems to be that while there are a multitude of gods, if you dedicate your life and belief in that god in particular you will end up in the specific afterlife of that god.

In Christianity, the situation is of course a bit more complex than that. One major precondition for entering the “good afterlife” (i.e. Heaven) is that you need to get baptized. For a long time, this left a rather awkward question mark for what happens to the souls of infants who died during or soon after birth - before they could receive a baptism. Folklore sometimes comes up with its own answers for that, but this was certainly a thing that people worried about.

RPG fantasy religions tend to deemphasize baptism since it’s such an iconic Christian rite - but this only further emphasizes the question of what happens to the souls of children who died before they could actually express faith in a particular deity. Does any particular deity claim these children then? Perhaps a deity worshiped by a parent - and if so, of which parent (are there “afterlife child custody” court cases)?

Of course, a fantasy setting does not need to have an afterlife people believe in. But if there are multiple afterlives maintained by different deities (or at least, if people believe that such afterlives exist), then people will worry about that.