It's possible to create a Caliphate for either Shia or Sunni once it's gone by holding both Mecca and Medina, being either a Mirza or Sayyid and having the relevant cash/piety/prestige. You can institute the same mechanics for heresies, bear in mind all Orthodox and Miaphystite heresies have heads and their own pentarchies, while the Catholic heresies tended not to have any real leaders in history. If you want to play as a Zoroastrian or a Pagan, there are also mods to give them religious heads. Shia Caliph and Sunni Caliph are the only heads you can be yourself, the rest of the are tied to a particular area (Antioch for Orthodox heresies, Constantinople for Orthodox, Alexandria or Monophystite and Miaphystite and Rome/Lateran for Catholics, Lateran being if the Catholic Church retakes Rome after the Roman Empire is reformed.) Catholic heresies, by the way, tend to be short lived and are basically just mechanics for realms to get wiped off the map suddenly when a heretic takes the throne. The Orthodox heresies are already spread across the map in 1066 (eg Nestorian), and since they're typically under Muslims they're more like mechanics for different Orthodox power centres to develop independent of the Ecunemical Patriarchy. If you give the unlanded Nestorian Partriach of Antioch (there will always be one, regardless of who owns the bishopric there) the actual bishopric, you basically have your own petty religion to control and develop a significant amount of independence with.