Most fantasy worlds include some sort of religious belief. It’s such an ingrained part of real-world culture that it can be very hard to conceive of a world without some kind of spiritual element. Some authors use the opportunity to explore aspects of belief that are difficult to address in contemporary fiction, since real religions carry so much historical baggage. Some throw in as many different forms of worship as they can, for depth or to create conflict between groups. Occasionally a fantasy world has no religion at all (like Anne McCaffrey’s Pern series).
In The Incursors, not only is there no religion, but any kind of belief in magic or gods or superstition is illegal. The population is generally docile, tamed by many generations of obedience to the Rules, so no one objects to this, there are no hidden cults or secret observances. If anything, the Rules themselves, the pronouncements of the three Founding Fathers of the country, are accorded the sort of reverence normally given to gods. However, when the three incursors arrive, they bring the first instance of religion into the country and this is part of the conflict they generate.
The Plains of Kallanash has a very well-defined religion, based on nine gods. Worship is generally fairly lax and not strictly enforced, but the equivalent of priests (known as Slaves) actually control the country’s administration (a theocracy). There are various levels of Slave. The highest level, known as Servants (Those who Serve the Gods) are said to speak directly to the Nine, and therefore all their pronouncements carry the force of law. Below that are the Voices, who convey the word of the Nine from the Servants to the population. Below that are regular Slaves who work in the temples, Karningholds (like castles, where the highborn live) and villages. There are also Acolytes, in training from childhood to become Slaves. The secret of the Slaves and their true purpose is part of the plot.
In The Fire Mages, religion is present but not a particular feature of the plot. In the north of the country, worship of the sun god is almost universal, a legacy of the days when it was compulsory. In the forested south, most people worship the moon gods, although in a relaxed way, while also making offerings to the various spirits of nature which preceded it. Along the river it could be either, but there are also numerous small local cults.
Is it necessary to have religion in a fantasy world? No, but it is such a universal in the modern world that the author should probably consider the issue and have a reason for why there is none. If there is a religion, I like to see some thought given to the structure of it, the actual beliefs, the types of ritual and the way it impacts on the population (is it an integral part of their lives, is it something there for weddings and funerals only, is it useful to keep the peasants in order but the aristocrats only pay it lip service?).