1. Yeah, it actually gives the xp to a random unit of the same civ. This was changed quite a while back, but the Civilopedia is rarely updated quickly.
2. I think I remember reading someone mention this a a bug before, but I don't really know what's up.
3. Religious UUs all start with their respective religion. When a unit is built and doesn't have a religion associated with its unit type, there is a chance for the game to assign it any religion present in the city building it. I haven't actually been able to figure out where this is handled though.
Order, Empyrean, and Runes of Kilmorph units, plus any living unit owned by the Mercurians, have a chance of becoming Mercurian Angels, compete with the xp (but not promotions or levels, jut the xp to purchase new promos). All AV, OO, and CoE units, plus all units with Death 1 or Entropy 1, have a chance to provide two Infernal Manes (with no promotions, levels, or xp)
Some spells (Priest spells and Esus Recon unit spells) also depend on the unit's religion too.