Why does he hate religion so much when his existence and actions resulted in one?

Other way around. There's a short story where he appears as a regular dude, but when he sits down the chair nearly buckles under the weight of his (hidden) power armor.
He got his shit pushed in by the first murder demon in the webway too. Emps needs armor.

Because hes like myself wicked and with a dark sense of humor

There is absolutely no lore describing the qualities of Big E's armor, but we do know it was real due to being ground up into tiny sand grain sized chunks and incorporated into the Crux Terminatus that every Terminator wears.

Hmm both of you are right.
Its not easy to tell if he has that armor on him constantly due to his shape shifting powers.