Yeah you need a religion to use Jesuit Education, either your own or one of the AI which has the belief.
Other than Theocracy spending your faith on the patronage of Great People is also a decent option.
National Parks also require faith and are amazing when going for a cultural victory. Even when you are going for a different victory type, they still provide 2 amenities to the city they are built in and 1 amenity to the four closest cities in your empire, so they could offer an alternative to Entertainment Complexes if u have the spots (w/ high appeal) for them.
But yeah, I have to admit you can win games perfectly fine without generating any faith at all. The things mentioned above are most of the time not integral to your core strategy, so you do not need to purely focus on generating faith just to use them. But, if you for instance captured some Holy Sites from the AI in an early war or just have lots of excess faith for some reason, they are nice to enhance your game with.