When I say I'm not sure belief is necessarily a conscious choice, I don't mean that in the sense of lacking free will (e.g. if you were programned by god to believe in him). I mean in the sense that you arrive at your views and beliefs largely through a process of experience. Most people don't just one day decide "Right, I think I'll believe in god".
There is always a 'leap of faith' somewhere along the line. As no one can scientifically prove the existence of God or anything spiritual since they are not physical entities.
I find the concept of 'exercising faith' quite odd. Because although religious people obviously don't see it this way, it always sounds to me a bit like admitting that you're doggedly persisting in convincing yourself of something that you know deep down isn't actually true. If you actually knew it was true, why would you need faith?
Not being able to prove something is true is not the same as being able to prove it is false. And if there were two possible outcomes, good or bad, I choose to hope in what I believe is good. As you say, faith is required without proof.
Hebrews 11:1
"Now faith is the substance of things hoped for, the evidence of things not seen."
So faith is borne out of hope and I believe is extremely powerful. Faith affects the scope of what we can believe. Belief informs our actions which in turn affects subsequent events and the world around us.