In the Sims 2 I had a themed neighborhood that was a mix of medieval and old west (it's...a long story), and a church developed as an important part of that neighborhood's "culture". Originally I just had a chapel in the graveyard, then I built a church for looks and decided it was the "private school", and as more medieval stuff entered the picture I decided that teachers and doctors would be monks/nuns... More grew from that, including an order of "knights" who were the leading politicians, judges, and soldiers, and a uni Greek house that was modeled on a monastery, with a chapel, refectory, and quarters. (Young Sims had to join this house to qualify as knights, monks, or nuns.) I used a mix of native and custom objects, and it became more markedly Catholic as the years went on, complete with stations of the cross in the chapel, and images of Mary and other saints in Sims' homes. This same neighborhood also had a "Jewish" population, as well as ethnic enclave of people who used Persian names, and names drawn from Shia culture. They didn't participate in the church institutions, but were otherwise unremarkable. I put "Jewish" in quotes because again, their only distinction was that they didn't participate in the church culture, so their kids were homeschooled (homeschooling was the norm in this neighborhood, with the exception of "private school" kids), and they couldn't become monks or knights. That didn't mean they weren't leading citizens: one of the 'Persian' sims was in my pretend village council, and a close ally of one of the factions in the neighborhood.
I've never tried to incorporate religion into Sims 3 or Sims 4, partially because I don't have control over the neighborhood. I also haven't played Sims 4 for long enough to want to try a lot of variants, whereas when I made that really intricate neighborhood above, I'd been playing Sims 2 for at least six years. My holidays are all named to match the western traditional calendar, with the exception of Thanksgiving which I call "The Big Game" just for laughs. (I removed gnomes and adding sports-watching as a tradition.)
