I don't think that it has to mean "convert or burn" or be about satanists, but it can be about people who are vain and shallow and not concerned with the bigger issues in life. All they care about is power and money and other wordly things, so they are essentially "selling their souls", and the final question means that when you are dying will you really care about all your money and wealth? It won't save you, nothing will, you will die.
I don't think that it has to mean "convert or burn" or be about satanists, but it can be about people who are vain and shallow and not concerned with the bigger issues in life. All they care about is power and money and other wordly things, so they are essentially "selling their souls", and the final question means that when you are dying will you really care about all your money and wealth? It won't save you, nothing will, you will die.