Ответ мне дали на официальном форуме цивилизации, если кому интересно - прикладываю.
"The 'pedia is a little inaccurate - if the number of religions + pantheons-not-upgraded-to-religions is less than the maximum number of religions allowed in the game, players can still start pantheons until that cap is reached.

Before a religion is enhanced, pantheons can still be started even if the number of religions has hit the cap."