Though I sort of like how secular the gryphons have been compared to humanity.
It is enough to make the Emperor of 40k jealous.
Also, my headcanon is that Griffons (and the other members of the empire, along with the Diamond Dogs, Yaks, Neighponese, and Crystal Ponies etc) all have their own religions.
Basically, Griffons had a sort of pagan worshipping tradition similar to Germanic of old northern Europe, now they have the Church of The Great Garrick to unite all of them in belief. Except it's technically not a religion if you're worshipping the Emperor and His allies, right?
Diamond Dogs I presume had some kind of crystal/earthern worship, but are generally less religious than Griffons. This was until their integration into the Empire, and their own involvement in the Winter War, which would cause some to start worshipping and follow Garrick's awesomeness.
Yaks, most likely have some nomadic beliefs similar to OTL, with sky and earth worship? I just imagined they would have runestone-like marks at noteworthy sites for worship. This is in addition to their shamanistic ways.
Neighpon mostly is inspired by Japan, of course, and would have similar beliefs to Shinto, with spirits and shrines. Not too knowledgeable on that part.
Crystal Ponies have their Crystal Heart as their main thing, being their Elements of Harmony, basically. So worship of ideas like Love and Kindness are pretty important for them. Especially to keep out the coldness of Windigos, which we saw during the assault on Sombra's base.
But yeah these are some of my thoughts on how religion/beliefs might unfold on the continent. The Church of The Great Garrick is growing as an entity!
Not sure about Maretonia.