The Pascal's Wager has been criticized because presupposes that the only possible god is the Christian god.
Pascal acknowledges the the existence of his god is doubtful. But even if we suppose that the divine existence is indubitable a new problem arises.
Now the new problem: is R'hllor saying the truth when he says (by the mouth of Melisandre) that he want be worshiped? Maybe he is a sadistic prankster that punishes his believers.
Surely my objection isn't terribly original, but I have not found anything similar in my (not terribly exhaustive) search.