If you are one of the first countries to convert to a newly-spawned flavour of Western Christianity, you are given a centre of reformation for your newly adopted faith.
The Pope wants his city. I agree that there should be a way for Italy to get out of the penalty without surrendering Rome back to the Pope, but it should not be a trivial-and-instant thing.
My bad I was under the impression that centres popped randomly at which point it is in your best interests to convert.