This line is a subtle way to show us that Mary is not particularly devout. She doesn't disrespect religion, but she doesn't adhere to it herself. Or at least she's not particularly passionate about it.
"God wanted our little prince in heaven; that was no fault of mine." (17.194)
Queen Katherine is a very religious woman, and she believes that everything that happens to her is a result of God's plan. This helps her get through hard times, and it does seem to be one reason why Henry respects her.
"I do not prepare for defeat," she said simply. "It would be to betray myself. I know that God will turn Henry's mind back to me and we will be happy together again." (26.71)
We have to wonder if Katherine had a crisis of faith after Henry divorced her. She really believes that God will guide her and save her marriage, but her marriage fails. Does that mean God has failed her? On the other hand, given what eventually happens to Anne, perhaps having Henry VIII divorce you—rather than, you know, lop your head off—is maybe a stroke a good fortune.
"God bless you," the queen said. "You can tell the others to go to bed now. I shall expect them all to come with me to Mass in the morning. And you too, Mary. I like my ladies to come to Mass." (26.73)
Queen Katherine is one of the more forgiving characters in the book, and we attribute that quality partly to her religion. Religion can get pretty nasty in this world, but it also has several good qualities, like encouragement toward charity and forgiveness.
Only Bishop Fisher, the queen's old stubborn faithful confessor made any protest when Henry named himself the supreme head of the Church of England. (30.3)
Henry doesn't appear to be a religious man. He makes himself head of the Church of England just to get his own way. He's like the world's first televangelist. Maybe he does have some religious feeling—maybe—but organized religion itself is mostly a political obstacle—or political tool—for him.
"She is your mistress," the queen observed quietly. "And that is a scandal to a God-fearing household."
"Never!" Henry's shout became a roar. I flinched, he was as terrifying as a baited bear. "Never! She is a woman of absolute virtue."
"No," the queen said calmly. "In thought and in word, if not in deed, she is shameless and brazen, and no company for a good woman or a Christian prince." (30.56-30.58)
The queen shames Henry, who wants to appear as a good, devout man but definitely doesn't want to act like one. For Katherine, you can't just talk the talk; you also have to walk the walk. Katherine is consistent, and that's one of her good qualities.
"But I thought he wanted the church reformed?" I asked.
[…] "Reformed, not taken to pieces and headed by the king," my brother said quickly. (35.51-35.52)
No one expected Henry to take so much power for himself. Although he never says it out loud in the book, he clearly fancies himself to be a kind of god. Or at least he certainly doesn't seem to be too concerned about anything like divine punishment, or anything like that.
God had cursed him for marrying his brother's wife and now God was lifting the curse by making his wife-to-be (his first wife, in Henry's adaptable conscience) so fertile that she conceived within months of lying with him. (36.17)
"Adaptable conscience" might be the best phrase to describe Henry VIII. He acts like he's a religious man when it suits him, and he blames others for bringing curses from God upon him when he doesn't get his way. But does he really care one way or another? It mostly seems like everything is about Henry's own comfort.
"You're not without sin, you're just lucky." (37.319)
What is considered "right" and "wrong" in this time is almost entirely decided by religion. Adultery is supposed to be wrong, yet it is overlooked when the king is involved. George calls out this double standard. Why is being gay a sin punishable by death, when having an affair is not? Who decides?
"Half of this church's teaching is to lead you on, half to frighten you into your place." (47.581)
This is one of the only explicit critiques of religion in the book, and it comes courtesy of Anne. She is right, especially in this context. Henry becomes the Church, and his main method of getting his way is to frighten people.