So in one of my games as Rome I tried to get a religion with God of War and multiple shrines. I did actually get the last great prophet before a turn another Civ would get one. I wanted to get Divine Inheritance and use my cap as the holy city, however my GP spawned in one of my other cities. That means that now I have to walk him all the way to my cap. Except if I do that I miss out on creating a religion. All my cities were creating the same amount of faith (only shrines were available). I don't know how the current system works but if it just picks a city by random then I think it should be changed. There was no opportunity to play more efficiently or make better decisions in my example. Maybe let us choose where the first GP spawns, or let us secure a religion just by getting the GP and not actually having to use him.