@Dionysis the three religions look founded to me (see attachment).
I also noticed you haven't researched any of the religions, to use the divine prophet you need to have researched the given religion first.
What usually happens is that the first to do so receives a free prophet,
but he might not always found it, and the next one that researches it will not get a prophet.
But in the case that you do research it
and it's unfounded
and you have a spare great prophet, then go ahead, you are then able to found it in your cities. If the AI founds it first then you are only spreading its religion to your cities, though.