I think the “heavy costs” of quitting religion referred to are the documented differences in health outcomes based on membership (or lack thereof) of religious communities:
“Even if we have good reason to assert that mainstream religious thinking is flawed, maybe we should be slower to advise people to give up the health benefits (footnote 15) of belonging, emotionally, to one or another religious community.”
I think the “heavy costs” of quitting religion referred to are the documented differences in health outcomes based on membership (or lack thereof) of religious communities: