Really? Look at all of the other animal species on Earth. Do they really have anything in the way of religion? Yes you could argue that religion takes a certain amount of intelligence to come about, but in any case even on Earth religion seems to be a supremely human affair. It seems rather arrogant to assume that any alien would necessarily need to have religion, when it doesn't even extend beyond humanity on our own planet.
The degree of devotion that elephants show to their dead feels a whole lot like ancestor worship to me. At the very least, they seem to engage in functionally useless displays of emotion, devoted to the remains of their dead, before proceding to remove the tusks (if the remains are in skeleton form, and the tusks are removable) and hide them someplace.
So I would say yeah, there does seem to be evidence of some type of formalized, deliberate, emotionally cathartic rituals, which serve no practical function from the point of view of survival, among at least one other species. If that isn't precisely religion, it's close enough in my mind.
To answer the real questions, I wouldn't see a whole lot of difference between us and the ET's. Back in the day (the day that was very long ago), there were lots of tiny tribes. One by one, they all had to learn that they weren't the only people around. Then there was contact between the continents and islands, and we all had to learn that again. If there are people outside our planet also, it would be the natural next step. I would think that Jesus died for them, or maybe every planet has it's own system. Either way, though I don't believe that people are saved by believing the correct doctrine, so it wouldn't matter much to me. I would be very busy trying to learn their language.
Unless, of course, they've only come to plow the Earth out of the way because we're annoying or something. Then I'd be decidely unhappy about it.
I'll assume that they are people, and thus be-souled.