I have two thoughts here, the first one is that I reckon that Free League wants the game masters to focus their own campaigns in parts of the world where it doesn't interfere with future canon. This is just a hunch, but it's partly based on the fact that Kua was kind of barebones before the Emissary Lost book. I think what they're doing here (intentionally or not) is giving you a few glimpses to play in Zalos and then wait for the rest. As such I think Zalos is deliberately barren at the moment, I'm fairly certain they will play a big part in one of the later campaign books. That doesn't stop you to flesh out your own world though, but there's not much official stuff out there.
The other thought is that I think it's fairly intentional that Coriolis is a game about commenting on a lot of real world conflicts and is not just escapism. It reminds me of the tv series Farscape and The Expanse with a new high tech cold war (similar to our own). To me it seems that the goal or message is to prevent wars, not having them and to show how conflicts fester and escalate. The most fascinating part is to look closer at the mechanisms of prejudice and power relations. I think that's a fairly straightforward reading of the canon metaplot (Emissary Lost and Atlas Compendium). And then there's more "on the nose stuff" (literal reading) like same sex marriage, transpeople, racist allegory with humanites and the conflict between faith and science. You are probably aware of all this, but I just want to point it out that religious conflicts are kind of part of that package.
Whether or not you want to connect with this stuff is of course up to you, I certainly don't judge, we can avoid schisms in a hobby.
I would agree that Coriolis is more "kitchen sink realism" than 40K, both serves a purpose. The perk with being a game master is that we can dial it to whatever realism level we want, personally, my group is sailing around in the sink.
But I will say this; in the end I would not be surprised that when Free League comes around to flesh out the Zalosians and Zalos we will see many parallels between Sunni and Shia, Iconodules and Iconoclasts, Protestants and Catholics etc. etc. Only time will tell, good luck with your campaign regardless of how it turns out!