Personally... I'm not religious, I was raised an atheist, I don't like religion, and I don't really think it should be protected, but I sorta kinda understand why it is, religion seems "special."
Veteran status is also protected under employment discrimination law, and military service isn't an innate attribute, however, its in the best interest for a country to protect those who have served it, especially those who were drafted.
Family status is protected under housing discrimination law, and having a ton of kids isn't innate, but some can say that the urge to have children is actually innate. (Though as a person who never felt an urge to reproduce, I have a hard time actually understanding this)
So yeah... we aren't 100% consistent.
I'd say being a veteran is, once you're a veteran you cannot change that about yourself. You could decide to not become a veteran, but you can't unveteran yourself.
Of the 11 federally protected classes, religion stands out as the only one that isn't innate. https://en.wikipedia.org/wiki/Protected_group
Incidentally California prohibits employment discrimination on the basis of political activities or affiliations, which is a step further than the federal requirement: https://www.nolo.com/legal-encyclopedia/california-employmen...