Well, the nature and extent of Roman persecution of Christians[*] varied a lot from time to time, and from region to region. Making blanket statements is tricky. (And that could certainly apply to the Lunars, as well--it may be less a question of "what do the Lunars do" than of "what does this particular regional overseer do with these particular tribes at this particular time".)
But also, while there were certainly anti-Christian informants, the Romans could easily check the informants' reliability with a very simple test: Haul the alleged Christian into court, and order him to sacrifice to the Emperor. If he does, then either (a) he's not really a Christian, or (b) he's a Christian of the mild and timid sort that won't let his religion interfere with his civic obligations--which to an easygoing magistrate, is just as good as not being a Christian at all.
This is where there might be a big difference between "Lunars oppose Orlanth because Orlanthi are not loyal" and "Lunars oppose Orlanth because Orlanth himself is a danger and/or evil". If the issue is the *loyalty* of Orlanthi, the Lunars might settle for making people make showy demonstrations of fealty to the Moon (akin to a Roman magistrate ordering someone to burn incense for the Emperor). But if Orlanth *himself* is the danger, then it's a bad idea to let people get away with being publicly Lunar and privately Orlanthi--they're strengthening the rebel storm, and fostering unrest in the country, even if they themselves are harmless.
[*] As I understand it, pagan Rome tended to go pretty easy on Jews-as- a-religion--even when they were savagely crushing Judeans-as-a- nationality, they tended not to persecute Jews elsewhere in the Empire. The Jews had the dual advantage over Christians of (a) not being a *new* religion (old religions always had cred with the Romans), and (b) not, by and large, proselytizing.
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