I asked Nico who couldn't remember JMB ever going to church, nor did he ever discuss it with him (although Nico himself was quietly religious in that he went to the local C of E church on Sundays). But he thought Mackail had it about right, remembering that Mackail knew both Barrie and the Llewelyn Davieses well, so here's what Mackail has to say (p 56):
"As with scores of other young Scotchmen if not with all of them, his family’s form of religion had been driven in so far and so firmly that questioning and experiment were equally impossible. Church-going was as inevitable as Sunday itself. Other denominations were, quite simply, for those who had been brought up in them. More imprisonment? His soul hadn’t noticed it yet, or rather, perhaps, had accepted obedience to what was expected of it without positively involving his mind.
His church-going broke off and ceased when he left Scotland—though it was resumed, as long as his mother was alive, at his old home—as naturally and easily as if it had never been driven into him at all. He never mocked; the moral principles which it formalised or ritualised were an unshakable part of him until the end. But, put to the test, the perpetuation of childish beliefs—which bring peace, comfort, and self-satisfaction to so many—could no longer accompany the queer development of his intellect. In this, at any rate, he grew up, or—if you prefer it—remained always too young for spiritual understanding. During all the best-known part of his life he varied, one might say, between stoic philosophy and brief but natural and human moments of secret panic and terror. His mind wasn’t a religious mind, though his pen and that largely subconscious part of him which so often guided it could touch notes of deep religious sincerity."