They don't have to of course. Plenty of fantasy stories exclude religion as simply out of context. But there is a theology in Middle Earth, made very explicit in the Ainulindalë and hinted at in LOTR, when Galdalf tells Frodo: "I can put it no plainer than by saying that Bilbo was meant to find the Ring, and not by its maker. In which case you were also meant to have it.". Why in that case do all the protagonists in LOTR have no religion whatsoever? Did Tolkien have the idea he was writing for a secular public and consciously excluded religion so as not to annoy them (which I find hard to believe) or was there some other reason?