We never got to see the Timbucktoobies or whatever practicing their religion in a peaceful, non crazed manner and being recognized as hard working, civilized, intelligent people trying to live their convictions. Those aliens certainly never existed! That possibility is ignored for the much more exciting prospect of bashing things we don't agree with, or for glorifying the radical bug eyed fringes.
Hey, I'm totally cool with keeping sermons within the walls of the church and out of entertainment. It's not Star Trek or any other entertainment's place to preach any particular faith or religion. I am saying, however, that in enlightened Star Trek times it would be cool for religion to get a little of that IDIC philosophy that is spread around liberally on any other given topic.
Have you ever watched DS9 by any chance? You might like the Bajorans; they're portrayed in a very multifaceted way. Both the laity and the clerics are very much people--lots of different personalities, stands on controversial issues, and so forth. There are some jerks and outright terrorists, yes, but there are also some very smart, very devoted people that treat people wonderfully.
No skeletal remains of horselike creatures with headlong protrusions have ever been found. Unicorns, if they in fact existed, would seem to be related to the horse, given their appearance -- but the Equus family are herbivores, not carnivores. They don't have the right teeth for tearing meat from flesh, and I doubt their digestive systems are equipped to handle meat, either.
You can't prove a negative, but you can understand some propositions to be pretty bloody unlikely -- and for me, that extends to ghosts, goblins, gods, angels, demons, and every other supernatural spookum people have dreamed up.
The difference is your first example (the man-eating unicorns) is falsifiable by physical evidence. The second is not. So, whatever you think of the likelihood, you'll never be able to find a proof one way or the other.