The terms of service make no difference between public and private games.
You probably shouldn’t make these dark themes on Roblox until there are proper age-gating features. It’s not the right platform for this at the moment and you will be shut down if moderation finds the game. Moderators can inspect private games.
I don’t think it is a threat, just something that ‘enriches’ the story and the narrative. You are right though, there is a line and this I think will cross it.
From previous emails with Roblox support, it seems that trying to convert someone to another religion or other belief or group is against the ToS, no matter if it’s a joke, role-playing, or serious.
If you have to ask then you probably already know the answer. If anything, having that in a game on Roblox seems pretty edgy to me and I have to question how you even remotely got the impression that this would be a good idea.