Each descendant subregion of PIE of course imposed its own religious beliefs and local gods. There is no surprise there. The key thread of derivative localized polytheism, often rooted in the same nature-based phenomenon, however persisted across the regions.

Refer to the sibling comment by drivers99. Sky god is not a vague lexeme; it is a critical rooting evidence. You're fooling no one by attempting to cover it up. A shallow dismissal of valid evidence is an attribute of a conman.

The Indo-Iranian branch of religion connects directly to the PIE religion via the commonality in their religious poetry, rituals, myths, rituals, and words. The Greek branch connects similarly.

I am an actual Indo-Europeanist and currently employed in the field. Please stop trying to oversell this. The sibling comment is referring to the aforementioned vague lexemes, too vague for much reconstruction of anything meriting being called a common IE religion. Earlier work by scholars like Dumézil, which are common to pop-sci shit and still hang on here and there on Wikipedia, are generally discussed within the field now as cautionary tales.

No one has any problem with reconstructing some branch-level stuff like Italic or Indo-Iranian. But projecting it back to even Nuclear/Core Indo-European, let alone Proto-Indo-European, is too fraught with problems.