The short answer is that 'religion' doesn't mean what you think it means in this context. The greeks and macedonians had certain practices relating to piety, sacrifice, rituals and observance of various cults (like the Eleusinian Mysteries, for example), but they had no 'book' or collection of dogma to adhere to in the way that Baptists or Muslims do today. Moreover, various modes of worship were not necessarily mutually exclusive: you could be an initiate of Dionysus and still offer a sacrifice to Zeus at the appropriate time. For that matter, you could worship Apis as your Egyptian ancestors did and also sacrifice to Apollo Loxias if you wanted an oracle. So it's more a case that there were many layers of 'religious' practice. Certainly there are many ways that elites impose conformity on the people that they rule, but don't mistake Antiochus Epiphanes' ban on orthodox Judaism for a religious revolution: he had solid real politik motives for that.