These are usually for profiling purposes when doing marketing or survey.

It would make it easy to do marketing, so error can be minimised. In our sensitive country, imagine a muslim received promotional material for night club/alcohol.... and before you say why can't they check before sending out, note that most of these are automated by machine, so yeah having that one extra category makes it easier to sort and filter.

Also having this profile makes it easier to check if their marketing strategy works or not. So if they have a certain product that is marketed to muslim people, then they can check the following month is there an increase of muslim customer. Or to non-muslim, vice versa.