I suppose the quick answer is the game can't cover any and every permeation of what someone might want... but if you're choosing to believe in something that's not part of Elyrian lore (and remembering that Elyria isn't Earth), you're kind of off the path and into the weeds already when it comes to the question of why something isn't there or should it be there. As for 'eldritch' horrors in the game in general (for the folks at home, that largely just means 'weird' or 'sinister' stuff), I'm certainly hoping there might be.

From the beginning beyond an "inspiration" buff one gets from the religious statues granted to the Kickstarter backers (which is more of a mental rather than supernatural effect), SBS has made it rather clear pretty much nothing else will happen. And that is for the official religions. Granted they might be concealing things as a surprise for later but still. Thus nobody should expect more to happen in regards to an unofficial cult.