These gods we can pick from are minor gods in my eyes, not all-powerful gods capable of doing everything.
Tends to happen with polytheistic rosters. They get assigned their own domain.
Just because you choose to follow one, doesn't mean you don't believe in another god. It just means your values don't align with theirs. In that sense, it's more of a philosophical question of who you choose to follow, given that its accepted that these gods exist in the game, there's no need for faith. It's just a fact.
There is no blind faith. Following a god will give you tangible benefits and boons in this game, and that's where I draw the line with real world religion, it's based on gospel, old books and faith. There is no real tangible connection.