It's important, but everything in moderation. Spend too much time trying to explain 5 pantheons and a monotheistic religion and you lose track of the story real quick.
I think the most important part aren't the history of the religions, but how they're practiced. Even in a single city, there are thousands of interpretations of one type of religion, and that's what makes characters grow - maybe one character goes to church, the other prays at home, the other makes an offering to nature itself, another has conflicting ideas on what's "right" for faith and needs to find what gives them peace. And it's not necessary, just like a favorite food or hobby, but it's flavor that you can use as a tool to make them interact and develop.
My comic actually has a big weird syncretism aspect, because the records of most religions were damaged in some way and everyone agreed in worshipping wind gods for warping reality to bring rain and the seasons to their weird land, but it's many types of wind gods. Some can worship Ehecatl-Quetzalcoatl and offer hearts as sacrifice(actually food shaped into hearts, because Aeolians believed it to be a metaphor), some exclusively try to appease to the Four Winds in rough times and aren't religious, some believe in powerful spirits and stick to protecting and respecting places of power, most light incense or burn wishes/offerings with a prayer as the smoke goes. It's not really relevant until later on, but how some characters approach faith is, well, part of their character at points.
(on using god and hell, it's definately better to stick to them if you have no better alternative. I go with 'gods', "winds' and the odd euphemism but I try not to dive into Etymonline to see EVERY expression with christian roots, that'd drive me and others crazy)