True, and that depends a lot on which era you are in determining how long it will take the building to pay itself back, and whether you need to pay down your faith reserves (pre-industrial era) to avoid generating a Great Prophet you don't need. In addition, if you are warmongering and conquering a lot of cities, you might need the happiness those buildings can provide more than anything.As far as religious culture-generating buildings go, you have to weigh the cost of spending that faith on those buildings (just to offset the penalty) vs. using that faith on, e.g., late game Great Persons.
Annexing also means that you can focus more of your empire's hammers towards international projects (I find that unless I'm playing Venice it can be difficult to get puppets to switch over to these), which can lead to free social policies and large culture boosts.