The wife and I were converts in our late teens and walked the tightrope with both our family`s so never had any real issues with them once they realised we took our "new" religion seriously.
We had a pretty normal relationship with them but just did draw the line sometimes .we accepted them thinking our example might bring some of them in ,which it did in a couple of cases ,and they accepted us .
And when we all left at various times there was no fanfare about it we just slotted in as normal family members.