I was always put off by the beginning when he conquered and enslaved my forebears. No tears for those who serve pagan empire and get bitten in the end.
Well we don't know just how exposed "Maximus" was to Christianity from the movie, but we do see he was a loyal servant to his King (Marcus Aurelis), nation and family. We also see he engaged in some sort of ancestor worship (actually honored) which seems to be devotion to his religion as well.
Don't forget the Germanic tribes were all pagans at this time themselves.