Personally I'm not massive on buying things with faith anyway. You'll only ever have a certain amount of faith, and the costs of great people by faith increase so massively... Taking pantheons or beliefs, or even social policies based on "which great person it gives you" is a poor way to do things... those benefits take ages to arrive, and if you use the GP for anything other than settling, their benefit might vanish instantly.
Compare this with say fertility rites, or a combat belief... those benefits will last forever, will be applicable forever, and do not take faith. At the end of the day there's no religious victory, for conevrting 75% of the world... so religion is handy, but not really all that important to victory. As such choosing piety because it "helps" your religion, probably isn't a good idea...