I've played all of the games from the third onward, and I've seen (almost) nothing that reminds my of actual religion; in VV4, there's even an event celebrating the "Guiding Hand".

The only thing that I have ever found offensive in the games is the heathens' mediocre actions, such as munching on dirt, and how, when attempting to convert blue masked heathens, it says that your villager is explaining "the truth" to the heathen.

As I believe many others on this thread have stated, Last Day of Work has done a great job in keeping religions practiced in real life.