I don't think it's magnitude of the event, it's the paradox of both certainty and uncertainty resulting. Religion is always been a matter of faith, no evidence, just tons stories, texts outlining rules and points of views. Suddenly, boom! It's an undeniable fact that all these people vanished, there is no longer any doubt that there's more to the world than science.
At the same time everything that everyone knew about religion, the rules specifically, is right out the window. Why this person and not that person. Why one baby and not another baby? It's like everyone's religion gets confirmed and invalidated at the same time.
If you're a Leftover than the issue of religion is no longer a back burner issue because now it's has real world immediate consequences. None of that 'I'll find out many years from now when I die' type thoughts because now this kind of thing could happen at any time. Seriously, it upends thousands of years of living and thinking a certain way about life. I'm actually surprised that the characters haven't flipped out much more.