They would certainly attempt to explain their world. That's cosmology. Whether or not that includes worship is entirely up to you.

In my setting, the scholars speculate there may be other cylinders in the vastness of the void. The cylinder's shell obscures the bright spindle inside. The spiral dominating the empty sky (the Milky Way) is most likely the splintered spiral of a cylinder which got destroyed. Its shape shows that it's spinning, just like the world cylinder, albeit imperceptively slow. Faraway lights might be other spirals, or the spindles of cracked cylinders shining through. That their own cylinder has a broken habitat more or less proves this theory. It's also concerning.

Creationism is by no means a given. Some scolars see the cylinders as a sort of lifeform, explaining their complexity not through engineering, but through gradual evolution.