From the roleplaying point of view the agnostic or atheist option has immense potential: the middle age set that is the base for D&D implies that being doubtful about deities or explicity don't believe in them is something anyone would dare to think to be open with.
To see how the various believers react to [agnostic]/[atheist] dialogue lines would be interesting.
But just like some remarks from the banned one it could be a very inflamatory and divisive material. So I think it's best to follow the rules (also because there are some interesting deities in DnD, and the variety of them allows to really surprising character backgrounds).
I do agree with the user that stated that for specific races, like Drows or Thieflings, there should be the "recommended" deity to follow.
