Perhaps that the main reason so many of these Christian themed horror movies leave me cold and I find trhe films of Jordan Peele much scarier because they take place in world where there is no salvation from any institution.

There are some films that can work around this though. Saint Maud is one of the most frightening films I've seen involving religion but that may be because it uses faith as a sign of a deeper kind of instability in its heroine. In Maud's mind at the end, her death is a form of martyrdom, where as we see its a pure delusion.