They would have had one prior to conversion. Social stratification is not an easy thing to shake off and was codified during the colonial era as European powers strongly believed in hierarchies, especially racial / colorist ones. The British in particular gave institutional power to those that were higher caste and criminalized those that were lower caste in a way that was not common prior to that era.

I am familiar with several South Indian Christian communities and there is no persistence of caste there though social stratification does it exist as it does universally.