I'm guessing because religions like the Blood Cult and the Chaos Requiem actually add to the game experience, and this would be their death warrant.
Yes, that's pretty much it. Not only that, but it would severely hamper the spread of certain religions in regions where they would be unwelcome. Like Sanguis Astroism in Caerwyn or Madina. Church of Ibladesh in Perdan. Flow of the Balance in Sirion. Darkanism in Tara. I'm sure you can fill in many other religion/realm pairs.
Making it harder for religions to spread is really not a good idea.
And if you want to be proud of your religious faith and advertise it, you can always type a signature yourself in your messages.
