The "Journey of the Magi" is chock full of traditions being challenged left and right. There's this strange sense of impending doom about the birth of Jesus, and the dawning knowledge that the old way of life for these Magi is long gone. You'd think that a poem about the birth of Jesus would be all kinds of happy about ushering in a new era of religious exaltation, but mostly this poem is moping about a long-dead past. Hey, it's Eliot. His glass was almost always half-empty. If not shattered altogether.
The replacement of the Magis' traditions and culture with those of Christianity is the perfect match for Eliot's conversion from spiritually loose Unitarianism to more conservative Anglicanism.
Upon returning to their palaces, the Magis' customs are suddenly strange, and in mortal danger.