If having a religious sense is innate in humans (and see here for more discussion on the obscurities of this notion), it doesn't follow that it's innate for non-human animals. Perhaps some song repertoires are innate in birds — but don't ask me to sing them.
I know of no good argument for the conclusion that animals cannot feel pain, and given the behavioral and physiological similarities between us and some animals the evidence seems very strong that some do. A biologist friend of mine told me about an experiement with, yes, rats. These rats had severe arthritis, a condition very painful in humans. They were given a choice between plain water and water laced with a tasteless drug (tylenol, perhaps) that does nothing to improve the arthritis, but in humans reduces pain. The rats quickly came to prefer the water with the pain-killer. This is no proof that rats feel pain, but it is a telling argument. And remember that you have no proof, in the strong sense of that term, that people other than yourself feel pain either.