You can't get founder beliefs, you can't add beliefs, you can't win with it, but you do get everything else.
Wheter or not to go for religion, opinion differs, but I feel like it is best to either focus on religion or just not go for any faith or holy sites at all. To get a religion (most certainly on higher difficulty levels) you need to build early Holy Sites in several cities and maybe run a project or two, which means that everything else - typically Campuses, Encampments, Commercial Hubs if you rush them - are delayed, which means your whole economy is delayed. If you'd go for just a Holy Site every now and then, however, without really focusing them, you'll probably not earn enough GPP in time. Of course, if you're playing Spain or some other Civ that gets bonuses from coupling religion with warfare, then you most certainly should go for one. Take the Crusade belief, send your missionaries first and send your army after.
And on the pantheon: It's typically nice to have one, but I generally get it by the time I get enough total faith from goody huts, though I sometimes run that Code of Laws policy card that gives 1 faith per turn until I have the pantheon. Also remember that, even if you get a pantheon later, you have it in every city, no matter the religion that city has, so it just stays useful for the entire game. It's just awesome, for example, if you start with a lot of flood plains and stuff, to take Lady of the Reeds and Marches and get +1 production from all those flood plains. A game changer considering the scarcity of production in those areas.