There was a church in Sinnoh, but they dont tell you what kind. So at the very least, people in the universe have SOME kind of religion. However, I think that any religion that does exist in the world would have to be fairly niche, since out of 5 regions only a single church has been shown, and because many of the legends surrounding Pokemon like Arceus don't appear to be common knowledge to the general public. So even if there is an Arceus-based religion, or legendary-based in general, then it's not something that is followed or even really known about by the majority of people, and is more of a fringe thing for people who have dedicated themselves to the study of those myths and legends. Cynthia is probably the type of person who'd be into it, since she's shown to have a deep interest about the lore surrounding the Sinnoh creation myth.
Most of the NPC's seem to be oblivious about most Pokemon, let alone mythical beings who have created the universe. And whenever the information about the legends and myths are revealed to you, it's always presented as if this is some new breaking discovery, or some hidden knowledge that is being revealed to you for the first time. So at the very least, I think its safe to assume that it's not common knowledge.
BUT - even if all this was true, and only a small subset of people are followers of this legendary pokemon - based religion....is it actually a religion? Because as far as the games have shown, all of those mythical creatures do exist, and have done what the lore says they have done. So if it is in fact true, then it's no longer a religion, just....history.
The ONLY Pokemon that I could see having a true religion based off of is the Original Dragon that created the Unova region. There's no actual evidence for it's existence other than the fact that Zekrom/Reshiram and possibly Kyurem exist, but other than the myth that says that they all originate from the Original Dragon, there's no real reason to assume that's true. So, if there is any actual pokemon-based religion within the universe, it would have to be that one.