I'm not sure if it is a bug, or its supposed to be like that, but when i chose pantheon to gain faith from natural wonders, it worked on my capital (i have a natural wonder there), but when i founded a religion and established a new city, i did not gain +4 faith from a natural wonder. As far as i know, pantheon bonuses last for the entire game.
Edit: i added Judaism to the city and it all worked out
Edit: i added Judaism to the city and it all worked out