The Persian empire didn't care about the religion of the conquered. Cyrus the Great was the one who freed the Jews from captivity in Babylon. With a weaker Roman Empire, or at least one with serious competition, the spread of Christianity throughout Europe by preaching would have still flourished, but forcing it on the Germanic tribes by the sword probably wouldn't have happened. For all we know, some later ruler of the Persian Empire may have converted to Christianity too.
Here's the question I'd like opinions on: Would there be any Islam? IMHO, a powerful Persian Empire would have stopped the spread of Islam cold. It would be a religion few cared about except the sand rats.
But you're right that the Persians did not convert folks to Zoroastrianism.
A powerful Perso-Roman Empire would have swatted Islam.
One of the little know points of history was prior to the Islamic expansion out of Arabia. Two devastating things happened to the Roman & Persian worlds. First they had just concluded a long bitter, exhausting manpower & treasury’s a very damaging war between the two empires. Second the Roman (Eastern Roman or Byzantine) Empire and the Sassanian Persian Empire suffered one of the first recorded (at least by the West) devastating out breaks of the Black Death (either Bubonic or Pneumatic or both!). Its difficult to tell how Arabia was affected by the out break since little written record has survived and maybe it was unaffected because it was a little bit of the beaten path of trade. Arabic Islam essentially expanded into an exhausted Persian empire. There are a few Eastern Roman records talking about problems with a few non-Christian but Ishmaelite Arab (Interesting term!) tribes and how there were too few troops in the area to oppose them.