Well, there is the Colossus of Mendicant in the Palais, if idolatry is your game, or the multistory fountain complex gardens in the Palais, if sacred groves are your deal, or then there is the Throne Room if magnificent temples and prostration gets your religious juices flowing, then we have things like the Joyeuse (coronation sword) if holy relics is what you're looking for, then there is the Imperial War Pyramid, which can only be considered a mobile shrine to the majesty of the High Sovereign.
But for actual temples/shrines built using in game mechanics, yeah we haven't so much... done that. At best we've tolerated the temple in Panabuk without persecuting it.