"The False Sun" explained this a lot as it made clear that in Titirga's day, they believed they could avoid damnation by worshipping the spaces between the gods, like the Nonmen. So, a well-behaved Sorcerer didn't need to side with the Consult to avoid damnation. There might still be a problem if you were going to be damned anyway for other reasons, though, which might explain Shae's motivation for seeking other ways of salvation.
However, It certainly seems this idea either has been forgotten or disproved since then. So the question is still open why they don't side with the Consult today. Probably, the average Sorcerer outside of the Mandate wouldn't know the motive of the Consult or what damnation actually implies. So he/she can live on by happily rationalizing this abstract idea and/or embrace atheism.
But Aurang continued his shining scrutiny of Titirga. A transgression that Shaeönanra found unnerving.
“Do you not fear damnation?“
A careful look from the Hero-Mage.
“The Nonmen…” he said evenly. “They have taught us how to hide our Voices. How to bypass the Outside, find Oblivion.”
Eyes like bladders of ink, each reflecting the tripods across their shining curve. The fluting of gill-tissues along the neck. “You worship the spaces between the Gods…”
“Yes.”
A rasp like the screams of faraway children tangled in the wind. Inchoroi laughter. “You are already damned. All of you are already damned.“
“So say you.”
A deep chested rumble. Popping mucous. “So says the Inverse Fire.”