The main benefit of founding a religion is having the Holy City to put the Shrine in it. Otherwise (for happiness, civics, whatever) you can just adopt a religion founded by a oppoenent. (Of course: you might start isolated, or for some odd reason all religions might get founded on the other continent - this is however something you do not know, when the decision for the first tech to research is made.)
So the decision to go for a eraly religion is really about: "Do i want my capitol to be a Holy City with the Shrine". This is the case if you can forsee the capitol to become a primary wealth generating city later, where you will build the Wall Street. If so, you need also to ask your self: "Do i want to make effort to pop a [early] Great Prophet?" or "Do i want to invest hammers in Missionaries, to convert Neighbours, so i can stay in my religion (and get more money from the Shrine) ?"
So if i have a - prospected - commerce heavy capitol (which also often means, that i also have the means to generate some early commerce, to actually get the religion), and happen to start with misticism, i like to take a early religion.
If i just think: "At some point in the game, i would like to have a Holy City, where i could build a shrine, if i happen to pop a great prophet...", then i just speculate on getting one of the later religions, or on taking a Holy City (with Shrine already Built perhaps) from a rival.