I would argue for keeping the number of "world religions" small and adding local flavor to them through historical events. For example, I, for one, would like to see the "religion" Counter-Reformation Catholicism eliminated and replaced with a "Council of Trent" HE that gives all Catholic countries a choice between accepting the reforms and refusing them -- with a huge list of benefits/drawbacks for each choice (including the benefits currently associated with manually changing over to CRC in EU2). I think that system could be used to model the other subsects that emerge during the course of the game. It seems like that's the only way the game can even represent a "minority" religion. If the sect didn't become a historical geopolitical force (during the game time), then all that matters is how the countries involved react to thier emergence/existence. Beyond that, as far as I'm concerned, let the modders mod.
The whole question, though, assumes the current EU2 religious tolerence system, which is something of a joke and needs to be jettisoned in favor of something else. In the name of keeping things simple, I like the idea of a "religious tolerence" slider on the DP menu. People of this time -- especially Europeans -- really did view the world in terms of your (state) religion, compatible religions, and everyone else. Of course, what was "compatible" and "Other" changed over time and in response to events, but that's easy enough to simulate. Given that paradigm, how does adding even one new religion to the mix really change anything? Less is more sometimes...