I think the entertainment industry often avoids getting into that sort of thing, nothing new here. Can't say I ever saw a religious add mingled into TV commercials, for example. Perhaps it's just not the norm in Portugal... I think it's perfectly normal that, in the business of making money, an agent doesn't want to side with things that are prone to cause outrage among a share of their costumers when they can just stick to things that annoy no one and are pretty much neutral from any religious or politic point of view.
I think the point of moaning about PC is finding examples of things that were, until very recently, absolutely normal, and that nowadays seem to cause all kind of stupid reactions from overly-sensitive souls. Major cinema companies rejecting a commercial add about one of the most divisive issues in society (religion) is something as normal today as it would be 10 or 20 years ago. It's a decision I can see myself making if I was in that position, and I'm as annoyed about over-zealous PC as anyone else in this thread.
With the incredibly aggressive tactics that many religious organizations use to acquire customers (such as going door-to-door, distributing pamphlets everywhere, or having their own TV channels riddled with charlatanism) and their massive financial resources, I'm assuming that their lack of presence in traditional media reflects a fear of advertisement companies in general to get into this business. Either that, or the marketeers of these institutions never thought of doing it, which I find highly unlikely. I'm sure you'd find it slightly weird if Manchester United had a new "religious partner" to add to your sponsors.