I've never really felt Stannis was a religious fanatic. I think he's just utterly ruthless when it comes to doing what he thinks needs to be done. It's not like he hasn't had plenty of proof that Mellisandre gets results. The temptation is just too great to do horrible horrible things, if it works.
That said, I really hope this is the last straw for Davos. Stannis doesn't deserve such loyalty.
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