Well, I think Penn's train of thought there is totally wrong. He postulates that converting to Christianity would suddenly make him the Toast of the Town. Yes, he'd be well received by many Christians, but he'd immediately be scorned by many other people who admire and enjoy him at the present, including most of the powerful people in the entertainment industry which is where Penn Jillette now operates.
Just look at the other celebrities who really, really identified as Christians in the way that he presented himself in that video. Not just as a nominal or private Christian, in other words. Most of them lost popularity as well as job opportunities as a result. That would happen to Penn, too.