I see no reason why they should.
Take the example of British law. It allows tax exemption as a charity if the organisation provides a benefit to society, anything where it provides something at low cost or for free. Just being a school or a church doesn't do that - it must pass the "public benefit test". Though for now, religious institutions are still all treated as charities. It is assumed that religion is, of itself, beneficial. A view I do not share.
But interestingly, when this was set out in the Charities Act 2006, there was a fascinating debate in the House of Lords about how to define a religion. It became very clear that it's impossible to define a religion in any way that would not also give tax breaks to Satanists. At this point, the government gave up trying to put a definition of religion in the Act.
Now if a religion provides free or cheap education, medical care, food, something like that, fine. That gives a clear public benefit. But just for being a religion, no. There is no benefit to me that they exist.