I agree. Islam doesn't even have any societies besides the Assassins, which at this point is just an easy way to convert to Shia. I don't know enough about Islam to suggest mechanics for it, but it definitely feels a bit bland to me.
As for Orthodox, I agree that it also needs new features. Even copy and pasting some Catholic features might do it some good. I think that Autocephally in general needs a rework. There should be more ways to interact with both your religious head and the other religious heads of the same religion, which could make it feel more like a Christian "community." Maybe there could be theological debates you could be involved with as an Orthodox ruler or something? However, I think that the best thing that could be done for Orthodoxy is making the Byzantine Empire less awful. At the very least, there could be some way to reform the government away from having such awful elective succession.
The Byzantine/Roman Empire has by far the best elective system in the game. It's so good I don't even find losing occasionally because I can usually get the throne back WITHOUT murder and an insurrection. The Byzantines just got a lot of love anyway - including a new vassal Merc Company with 900 Heavy Cavalry!.
That said - Orthodoxy and the other non-Catholic versions of Christianity need some love.
Right now Autocephaly balkanises large Orthodox realms, which isn't how it worked historically, and even Viceroys get to appoint their own Patriarchs - which makes no sense. Orthdox rulers, even Emperors, don't get crowned - which is especially bizzare for the Byzantine Empire which basically provided the model for the coronation ceremony in Christendom.
Meanwhile, Islam still doesn't have any Sufi orders.