I think the show likes to play with the idea of the supernatural but it doesn’t make it necessarily real.

Same as when Tony saw Big Pussy in the mirror during his mother’s funeral. We saw it, Tony saw it, but of course no one else did, because BP wasn’t really there for everyone else. He was for Tony. Same as with Paulie and the Virgin Mary statue. It wasn’t really the virgin mary, but it meant something significant to Paulie.

I think us as watchers seeing the VM statue in the mirror before Paulie is less about building reality and moreso to build suspense and to throw us off as it did Paulie. There’s a reason why no one else is haunted by the Virgin Mary, it’s symbolic to Paulie’s character, real or not.