Well, lets look at this realistically. Religions are part of human nature. They are inevitable because man is a curious creature. In our pursuit to understand the things that defy logic, we come to believe in powers greater than ourselves and become subservient to those beliefs. Thus, religions are born.
If the Matrix was real, I would personally continue my belief system. Admittedly I don't have one, but I expect others to cling to theirs as well, especially after witnessing the Real. Despair and hardship often motivate people to cling to their beliefs. They seek salvation in the times of their deepest chaos.
Would the sight of Neo change my beliefs? Possibly. I've always preferred to believe in what I could see rather than what I was promised. Seeing Neo would certainly alter my perception. Would I become zealous? No. For despite Neo's great gifts, he's merely a man. Just a man.