...I actually like how this game is NOT about religion or if it is, it shows more of the dark sides of it - as in: Primals, Ishgard.
The whole Primal-problem revolves around worshipping gods and you, as Warrior of Light, as someone who might be close to a god himself by now (remember Thordans words...!) want to go out there, carrying your worship and slaughtering GODS of other beliefes? Yeah, I dont think so...

If you'd looked closely into the lore you'd know that the whole point of the twelve not being that present is because it might turn them into primals - and no one wants that. When it comes to this matter, you're the Warrior of Light, not an Au Ra.

(Also: While Halone is ofc very present in Ishgard, a lot of other citystates have their special god too - Nald'Thal in Ul'dah, Nophica in Gridania, Thaliak in Sharlayan...)