I can grok religious victories, but it's still less interesting to me than elimination. It feels more dependent on windfalls than other victory types, especially within the first 50ish turns. I need to not get locked out of founding a religion, and I need to spread it asap before it gets consumed by another religion. In fact I need to be getting faith before I actually get Holy Sites, so an early religious CS or built-in source of faith (like with Indonesia) is rather imperative.
After that, to conduct a religious victory, I end up only using 2 types of units: Missionaries are only good to round out spare faith for conversions, and Apostles are more tedious to manage than military units. Apostles having random promos means that each Apostle can be fulfilling a unique role, but they all look the same on the map. I'm usually dealing with multiple other things, so I tend to lose track of promos and charges on Apostles. This is less of a problem with military units because they all look different and have different icons, and even if I split promos for some military units, they usually have the key promos that matter. I'm not sure what kind of UI changes can be made to help with differentiating Apostles better.
To be fair, Gurus and Inquisitors exist, so I'm not using the full diversity of religious units available. I've never felt particularly compelled to get either; it seems much more productive to get Moksha and just roll Apostles as often as possible.