This will be my first ever post here - hi everyone!
In short: Does religion exist in the world of PGTS? Religious beliefs/practices seem to match closely with ideas of transmogrification and repetition in the magic system.
Long Theorizing on the Magic System, Religion, Etc...
Spoilers up to latest chapter - I don’t have a clear enough delineation in my mind for each book to spoiler by them 
My own failing..
From what I understand of the magic system of PGTS - most importantly transmogrification and the presence of the “communal consciousness” (as similarly discussed in this thread, by Aspwill) - the ability for Will to manifest into actual observable phenomena is strongly influenced by collective belief and repetitive action (as seen with the “Guiding Light” rituals that S has been performing to make communication tokens).
Additionally, spell components and glyphs used in transmogrification rely on the spellcaster’s understanding of their communal meaning. Several chapters have also discussed how glyphs can mean multiple things (diverging evolution) as well as how opposing glyphs can come to mean the same thing (converging evolution). So, we know that communal consciousness can change over time.
From what I understand of the world, some sort of understanding of religion must exist, as coppers such as Titus Westbay refer to the Undreaming Order as a cult. If so, are there religious institutions that build upon this knowledge of communal consciousness in order to bring power to new spells/spell components? I feel it would make sense, especially if this break in understanding for transmogrification is a documented, repeated occurrance (proven by Prof. Lacer).
This also builds on the theory that the Undreaming Order will actually bring some kind of truth to the legend of the Raven Queen, and as such bestow meaning onto ravens and the like. Maybe even onto S herself! Maybe even some clandestine organizations kicked in after the Cataclysm and created tenets of magic (like we see with the rule against casting through the flesh) that became rules simply by the communal consciousness believing them to be true.
To talk on how this could be untrue - religion could simply not exist. Magic and Will being a universal construct could be so overpowering as a concept that religion need not take part, as each individual can seek their own salvation through more hands-on means. But the ease with which the Undreaming Order became an organization makes me believe that it isn’t true. Maybe with the increase in unrest as the High Crown becomes more neglectful of the people in lieu of securing their own power, this became easier?
Otherwise, maybe this level of zealous belief has strong consequences. My memory is foggy, but I barely recall an instance in the “100 Ways a Thaumaturge Can Die” (exact title failing me) book that Prof. Lacer got Sebastian where a group of thaumaturges attempted to do this and failed. I might just be making that up though - if only my memory was as good as S.
As a new member of the forum (and fandom), feel free to cast a memetic curse on me if this line of questioning crosses any boundaries! 
I couldn’t find anything referencing this in previous forum posts, but I admit that my search was very cursory. I apologize in advance if this has been covered already!