When you pick your Religion early on, you gain the benefit of early Forms (assuming you've the Fury to Conjure them).
This is a MASSIVE military advantage over foes who may be without Form-Support.
However, since many of your Foes will not have Temples built (as you must choose a religion prior to constructing one), your Forms will have to circle back to existing Temples to Recharge, or you'll have to constantly build new ones.
On the upside, the cheap forms can be fueled for up to 15 fuel which is plenty for early game operations. The most common reason for choosing an early form is when you have multiple foes
When this happens, many players will choose one of the cheaper forms & pump out as many as they can in an effort to disrupt & hinder their enemies efforts.

By waiting to choose a religion, You can ask your friendly neighbors if they'll build you a temple of [i]their[/i] religion, thus giving you a free-choice Form.
You can also capture your enemies Temples for the same result.
Also, you can look at what your enemy has chosen, and pick a Form that can best theirs, thus granting you the upper hand (albeit later on in the game).

The Con was mentioned above, your forces are severely out-gunned by the brute strength of Forms, especially early on.
Don't throw men away in useless battles with them as Forms only grow stronger with each battle they win (Forms do NOT generate Fury, they gain exp, which converts to Health).

A form can only occupy 1 region at a time, keeping small groups of lessers nearby to fill in as they go reduces their impact on your resources.
the real test comes when they threaten your structures or large groups of lessers.