The more religions you found the less their are for the AI. AIs founding religions (and spreading them) will lead to more factions which can make it harder to stay friends. This is because the different factions won't like each other making it harder to trade, possible demands to end deals, or worst of all 2 of your "friends" who you want votes for going to war and making you pick sides.
Thank you. All that is very true. On the other hand, the more religions you found the less there are for the AI. So the far away continent could have a single religion. So they will trade among themselves more often. And when the elections come, they will vote one another instead of voting you.