Gods’ “Prove thyself worthy or perish” message is flavored as “Prove thyself worthy, because I can do no more for you”. On the Planes, the gods’ balance of power prevents your deity from granting you any extra help (apart from sending angels when you arrive in Astral). If this were not the case, one would expect to be able to breeze through the Planes, with your god smiting down any enemy that might threaten you getting them their Amulet. Prayer will not work, though it will still break atheist conduct.