What can I say: I am also a nerd...

This isn't even all the lore.  And no, they're not a religious organization.  The founder views heroes as modern knights and felt they should uphold certain ideals (courage, chivalry, nobility etc.).

Also Religion is........................ complicated in Paradox since there exists entities which feed on faith and devotion, but that kind of information is strictly governed by a group of secret societies because feeding the things that go bump in the night makes them real.