I know that by the 5th century, Britain was Christian to a significant degree. But do we know what faith a warlord in southwestern Britain would have been likely to follow?
Almost certainly. The Romano-British/Welsh actively cultivated an image of themselves as essentially Romans without the empire, not too dissimilar to other post-Roman parts of Europe, but different in a few ways. For one, Roman Britain was significantly poorer than the rest of the empire and this only was exacerbated after the collapse of the Roman empire in the west (though it started before the loss of Britain). This also resulted in the large scale de-urbanization of Britain, and combined with the raids and attacks of Germanic tribesmen on Britain and their subsequent migration into what is now England the British Church started to wither in the vine.
However, Christian identity remained a powerful force for the British and inscriptions with Christian meanings and symbols were relatively common in standing stones and the limited literary evidence throughout this period, despite the influx of non-Christian Germanic peoples. Indeed one of the main sources of "evidence" for a historical Arthur is the sermon delivered by the British priest Gildas, who exorted the Christian lords of Britain to drive back the pagan intruders. While his sermon isn't as clearly defined as many pop historians would have you believe, it is clearly a Christian message (coming from a priest) aimed at a Christian audience (the lords of western Britain). While populations of Christians certainly dwindled outside the highland areas of Britain, they did not vanish, nor did Christian identity among the British lords in western Britain disappear. In some places it would disappear over the course of assimilation between the British people and the Germanic invaders, but in western Britain it retained importance and was retained.