Probably because most people don't pick what church they belong to; their parents do that for them. While people do convert between religions, most will stay with what they grew up with and try to make things work within that framework. Sometimes that's not possible so they pick one or the other of their religion or their political ideology. Religion doesn't always lose out and my gut instinct is that it wins out more than politics does but that's more difficult to see since membership and public interaction for religion works differently than it does for political parties.