Well, when you already have a prophet, you are guaranteed the religion sooner or later, so a pantheon is a lesser problem now. Also, you don't even need god-king as Stonehenge and/or Holy Site produce faith themselves.
Yeah, once you have the prophet you're still guaranteed the religion, but it was more one of those cases where I rushed to get it, and then was like, "damn, forgot about that." Just because you get the first prophet doesn't mean you get the first religion.