Just a few thoughts...in no particular order.
If you're in the greater Salt Lake area, the LDS influence is still significant, but last I heard almost half the metro-area population is not LDS. As you move to the smaller towns away from SLC the LDS percentage takes off.
If you're a skier you'll love it; in 40 minutes or less from SLC you can be in Park City and Deer Valley, and from there some of the best skiing in the world is not much further. (Snowbird, Alta...the list goes on.)
The cold in SLC is a "dry cold", not the bone-chilling dampness of some areas.
Utah generally is much less politically charged than where you are, or even this forum.
I've never been to upstate NY, but if you're satisfied with your quality of life and like it there, why bother? Moving sucks.
You might try seeing if your employer would let you do it on a trial basis, say for a month, keeping your salary the same, but they rent you a decent motel or corporate townhouse/suite and a car. Check the area out, if you like it firm up the deal, if not, bug out. You've been with them long enough they know you're a valuable employee, they should be willing to work with you if they really want you there.
You'll need a 4matic if not an ML; I've heard that RWD MBZs don't fare well on snowy and slick roads.
If you're a drinker their laws will take some getting used to. There are no bars in the conventional sense, you have to join private clubs or do your drinking at home with liquor you buy from a state-run liquor store. One work-around is that you're considered a "member" when you patronize a restaurant bar, so long as your intent is to have a drink before and after dinner. Restaurants that don't serve liquor, you're permitted to carry in your bottle but they charge you a decent "setup" or "corking" fee.
If you want to get away you're very close to a major airport. You're not terribly far from a geographic center so it's only a few hours in any direction to anyplace in the continental US. SLC has some very good airfares and typically has the cheapest car rental rates I've ever seen.
You'll need to buy a big place because everyone you know -- including those of us on the forum -- will want to come visit you.