Pagans do rebel, only much less frequently then other religions. If a pagan city is less than 5000 it is a good idea to send in a colonist and convert them to your state religion. Over time, pagans tend to convert to your state religion anyway (you will receive a message saying 'province X is now Orthodox, Catholic etc'), but larger cities tend to remain pagans forever - while playing as Russia, I have noticed that pagans of underpopulated Sibir Khanate usually convert to Orthodox after you conquer them (might take up to a century), while larger cities (China, Haderabad etc) usually remain pagan till the end. Not that it really matters.