Religion in Civ 4 was great historically speaking, but kind of dull mechanically speaking. It was founded randomly by your techs, and all were absolutely identical. I remembered that, in the Civilopedia of yore, they justified it because they didn't wanted to offend other religions (like christians who might be triggered that their bonuses are, finally, less cool or potent that muslim ones). Which resulted in just culture and happiness bonuses, which were... great but nothing more.
But one thing I loved in Civ 4 was that you could have religious policies. Basically, I loved the Government system of Civ 4, and while Civ 6 system is way better in that way that Civ 5 social policies, I'd love something more akin to that. Policy Cards are great but, in a sense, to versatile. Going on and off Collectivism every 7 turns (or less with gold) is just completely unrealistic (and frankly it's not discussed enough on this forum). But what I really miss is having a "stance" about religion(s) in my empire. Am I a theocracy where my religion is the most important, do I organize my religion to support my empire, am I a tolerant pacifist that accept everyone or do I go the path of secularism and don't care what my people think or pray? For now, the game is too binary in it: either I founded a religion and I have no control over my religious diplomacy, or I didn't found one and then I'm at the mercy of other. Religion was one of the main friver of diplomacy in Europe and around Mediterranea for so long that having it reduced to what it is now is kind of a bummer.
Religious Victory is, for me, a mistake. I see it as the "Mid-Game Victory": if you haven't win by the Industrial Era, then it's no bother to pursue it anymore, and you should focus on other victories. It's tedious, it's monotonous, and it's no fun.
On the other hand, what I really love about religion in Civ 6 is the personalization part. Sure, a religion founded by an empire is ahistorical, but frankly pretty much everything is (like you have to learn how to use a bow before riding a horse somehow, and no mystics ever existed before they began trading with foreigners...), but, from a "roleplay" perspective, I really love shaping my empire through religion. Especially Pantheons (the fact that you retain your pantheons even if you change religion is a great plus from Civ 5). I really feel unique and personalized this way.
And one thing I really love with religion in Civ 6 is how it's a support mechanism for the rest. Before Civ 6 (and perhaps civ 5), you had basically three main yields: Science that gives you victory, Production that drive your empire, and Gold that support everything else. Now, it's more complex: Science and Culture are quite equals, and Faith is now on the same level as Gold. I love how the "secularisation" of the world appear by your civilization not necessarily using the faith to worship or for religious purpose, but they transmit their faith into something else. Cultural victory is difficult without Faith (naturalists and rock bands), you can recruit Great People with Faith and Gold, and now with Heroes... Founding a religion (and thus generally pumping your faith output) is like getting more gold.
TL;DR: religions are a mess historically speaking, and they should need to rework it so you can interact with them in a more meaningful way (internally and diplomatically), but the personalization and the multiple usages of religions is something good that we definitely should not loose in future iterations. Oh, and Religious Victory sucks.