Well, he had toned it down vs vintage Prince (Purple Rain days), with more of a soul review show and conservative clothes.
Not sure if he is baptized, but I get the feeling the guy is using the JW thing to keep him grounded, but if they wanted him to not perform, he's no fool: he'd dump the JWs in a minute, just like he fought the record companies for control of his recordings (and hence why he changed his name to "the Artist formerly known as Prince" at one point: he did that to get out of a restrictive recording contract he was in with Warner Brothers).
In the video (from 2005), it was mentioned he was the highest-grossing touring act in the U.S. the year before. He fully well knows that $$$ and his music career trumps religious beliefs.
I remember one "convert" was always telling stories about sex, women, fast motorbikes and wild holidays. Then he'd end his narrative with something like "but of course, that was all in the past", with a sorry tone like he missed that life. Not many born-ins liked him (i.e. jealous).
Heh, maybe that's why Jesus gave the parable of the vineyard workers, where he said it was the owners business if the workers who came late to work were paid the same as those workers who put in a full day's worth of labor....