There was nothing sympathetic about the near collective, dismissive attitude regarding the man asking Lena if she had been baptized. That's the showrunners pushing a general resistance of religion (real religion, not DC Comics stories) by many of the main characters.
I think that might have more to do with asking a religious question as a prerequisite to sexual encounter in a nominally secular environment. And you can tease out a ton of stuff with that. Would you be as offended if the ladies had scoffed because unnamed Head of State had asked Lena if she was a baptized Catholic if they were about to negotiate a business deal and then called it off when she wasn't?
Also, I know we're in a Cool Dad Pope period at the moment, but we're a
long way away from a Pope that's cool enough to be down with Casual Non-Marital Rich People Sex That Probably Will Involve A Condom. If anything, if he was devout(ish), wouldn't he want Lena to
not be Catholic? Unless, of course, he's Protestant (or whatever else) and never got past the schoolyard gossip that the Catholic girls were evil dirty sinners who'd do the really weird stuff (and didn't pick up on the fact that the Catholic boys said the same thing about the Protestant (or whatever) girls).
Honestly, I think the anecdote just seems weird because I can't see any way the dude could be asking that question and not have it be a mood-killer. Maybe he was trying to get rid of Lena. If she says no, he says he insists on religious compatibility with his one-night-stands so they can guarantee an awkward encounter in the afterlife, and if she says yes, now she's thinking of Sister Chastity rapping her knuckles with a ruler and warning her about smooth talking boys who will lead her to the path of certain damnation and will beg off on her own.
On the other hand, Lena said she was a little attracted by him believing in something, which reminds me of my freshman year in college at a free-food get-together in the dorms where they wanted to make sure we all knew that no meant no and condoms were a thing. At one point, they were talking about why someone might not want to go all the way and were soliciting examples from the group, and my roommate said he'd slowed things down in the past for "religious reasons," and I swear I could
hear half the girls in the room suddenly, simultaneously checking him out. Perhaps, in a world of convenient hypocrisies and realigning social foundations, any sacrifice prompted by genuine belief in an ideal can seem both alien and admirable. Or maybe some people just like a challenge.