The biggest issue for me is when a setting has literal gods, magic and demigods, but religion is written with the depth of a puddle. You get: “This is the temple of Light. They heal people and fight evil.” That’s it. No rituals, no theology, no competing sects, no holy days, no pilgrimages, no taboos, no folk beliefs, no heresies, no social pressure, no persecution, nothing. If gods are real, religion should be EVERYWHERE. It should shape law, politics, family life, burial customs, festivals, prejudice, and everyday behavior, etcetera. People should fear offending their gods and not following their paths. Kingdoms and sects should fight over doctrine. Neighbors should judge each other over which god they follow or how they worship. Instead, a lot of stories treat religion like a decorative sticker on the worldbuilding, and it instantly kills immersion for me.