As a Christian- but a non-fundamentalist one- I don't think that the Supreme Power of the universe cares one whit about my silly little religious opinions. What is important is that I'm honest with the people I'm dealing with.
I think it's up to you to decide what you wish to have your playing "associated" with. Here I would differentiate between that which is simply well-intentioned but ignorant, and that which is malicious and harmful.
If one wants to believe that the earth is flat, only 6000 years old, or whatever, I'd have no problem. But some religous sects go beyond this, and denigrate other religions and cultures, leading to the well-documented evils of racism, anti-semitism, jingoism, etc.
In other words, I would happily celebrate with Christian, Bhuddist, Jewish, Islamic, or Atheist brothers and sisters in any venue, but would NOT participate in an event sponsored by either Jerry Falwell or al-Quaida, wherein I perceived that the "religion" is used as a weapon to pursue some other social or political agenda.
In Christian lexicon, this is known as "Wolves in sheeps' clothing."
Michael
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Quasar