Sylphy doesn't follow any religion.
Or rather, between the people I met, only Cliff really is a Milis follower.
Cliff would always wear the sign of Milis on his neck. Once every 7 days, he would go to the church for mass or something.
At least, Sylphy didn't wear any Milis symbol or attend service.
Maybe only Cliff does those things, so belief might be possible.
At least, I never heard about it.