Right after the foundation of Kievan Rus (so when Oleg or Igor were ruling), would the Varangian families have adopted Slavic religion or kept their Norse religion?
It is believed that the Varangians in the Rus weren't 'slavicised' until the late 11th century so it's pretty safe to assume that the Varangians were still following the Norse religion until the Christianization of the Rus in 988AD. Unsurprising considering that Christianity in Denmark wasn't widespread until Harald Bluetooth was christened in ~960AD.