Also, as another child comment said, filling out religion and gender is optional, and no form ever asks for race (at least in Germany and Switzerland I know that for sure).
On the other hand, having better data about citizens makes a lot of things more efficient and fair in government and politics. As I said, I think the US Census is a disaster and always leads to unfair outcomes for minorities and lower class people.
But I agree, it would be better if they woulnd't ask for religion at all.